Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Repo rollover risk?

Definition 11.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 11 — The Bond-Futures Basis Trade

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.

Lees in het hoofdstuk →