rollover risk
as defined in CRR, Article 272, point (23) (Definitions)
the amount by which EPE is understated when future transactions with a counterparty are expected to be conducted on an ongoing basis. The additional exposure generated by those future transactions is not included in calculation of EPE
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Also defined in
- Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and… 32006L0048, bIII.p26
the amount by which expected positive exposure is understated when future transactions with a counterpart are expected to be conducted on an ongoing basis. The additional exposure generated by those future transactions is not included in calculation of EPE.