rollover risk
as defined in Directive 2006/48/EC of the European Parliament and of the Council of 14 June…
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.
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Also defined in
- CRR 32013R0575, Article 272, point (23)
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;