Repo rollover risk is the risk that a position financed in short-term repo cannot be refinanced on the same terms when the loan matures: at a higher rate, a higher haircut, a smaller amount, or not at all.
Quantitative Finance · Begrippenlijst
Quantitative Finance · Begrippenlijst
Repo rollover risk is the risk that a position financed in short-term repo cannot be refinanced on the same terms when the loan matures: at a higher rate, a higher haircut, a smaller amount, or not at all.