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Quantitative Finance · Glossário

O que é Repo rollover risk?

Definition 11.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 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.

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