Jorge Cruz Lopez - Latest - Bank of Canada
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2024-03-28T16:10:00+00:00
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Who Pays? CCP Resource Provision in the Post-Pittsburgh World
https://www.bankofcanada.ca/2017/12/staff-discussion-paper-2017-17/
At the Pittsburgh Summit in 2009, G20 countries announced their commitment to clear all standardized over-the-counter (OTC) derivatives through central counterparties (CCPs). Since then, CCPs have become increasingly important and there has been an extensive program of regulatory enhancements to both them and OTC derivatives markets.
2017-12-20T10:00:47+00:00
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Who Pays? CCP Resource Provision in the Post-Pittsburgh World
2017-12-20
Financial markets
Financial stability
Financial system regulation and policies
Staff Discussion Paper 2017-17
https://www.bankofcanada.ca/wp-content/uploads/2017/12/sdp2017-17.pdf
Who Pays? CCP Resource Provision in the Post-Pittsburgh World
Jorge Cruz Lopez
Mark Manning
December 2017
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CoMargin
https://www.bankofcanada.ca/2013/12/working-paper-2013-47/
We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants.
2013-12-20T10:09:24+00:00
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CoMargin
2013-12-20
Econometric and statistical methods
Financial institutions
Financial markets
Financial stability
Working Paper 2013-47
https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-47.pdf
CoMargin
Jorge Cruz Lopez
Jeffrey H. Harris
Christophe Hurlin
Christophe PĂ©rignon
December 2013
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The Market for Collateral: The Potential Impact of Financial Regulation
https://www.bankofcanada.ca/wp-content/uploads/2013/06/fsr-0613-lopez.pdf
2013-06-13T10:31:45+00:00
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The Market for Collateral: The Potential Impact of Financial Regulation
2013-06-13