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kfcnhl
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Posts: 9
Joined: July 28th, 2009, 3:56 pm

Repo risk

December 5th, 2019, 9:25 pm

I am trying to understand how repo traders are being measured(pnl/risk).
I understand the amount of repo that can be done is limited by regulation but want to dig deeper on how the performance is measured.

For long term repo of 1 week to 3 months, I understand there is market risk and pnl.
What instruments would the trader use to hedge the risk?

For overnight repo for 1 day, where is the market risk?
The repo rate changes duration the day and how can trader manage this risk.
How will the funding be charged to the repo desk?

Thanks a ton,
Fish