Jorge Cruz Lopez

Principal Researcher

Jorge Cruz Lopez is a Principal Researcher in the Funds Management and Banking Department at the Bank of Canada. He is also a Lecturer at the Sprott School of Business at Carleton University and a Member of the Advisory Board at the New York Institute of Finance.

In his role at the Bank of Canada, Jorge conducts and oversees research in the areas of asset pricing, financial risk management, and financial market infrastructures. His most recent work focuses on identifying systemically important market participants, optimizing collateral requirements for payment systems and CCPs, and identifying structural risks in e-money and blockchain systems.

Jorge joined the Bank of Canada in 2011. His responsibilities have included serving as the Associate Editor of the Financial System Review and participating in multiple working groups devoted to the analysis of systemic risks and reforms of OTC derivatives markets and financial market infrastructures. He has also published in both academic and practitioner journals and has been a speaker at several conferences, universities and policy institutions, including The Bank for International Settlements (BIS), The Bank of England, The Bank of Japan, The Banque de France, The Reserve Bank of Australia, The Bank of Mexico, and the Commodity Futures Trading Commission (CFTC) in the U.S.A. In addition, he has been a keynote speaker at The Federal Reserve Bank of Chicago and at the Annual Collateral Management Forum in Europe.

Prior to joining the Bank of Canada, Jorge worked as a Finance Lecturer at the Beedie School of Business at Simon Fraser University in Vancouver, Canada. He holds a PhD from the same university and has been a Visiting Scholar at HEC Paris in France and at Queensland University of Technology in Australia.


Jorge Cruz Lopez

Principal Researcher
Funds Management and Banking

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Curriculum vitae


Who Pays? CCP Resource Provision in the Post-Pittsburgh World

Staff Discussion Paper 2017-17 Jorge Cruz Lopez, Mark Manning
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.


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.

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Journal Articles

  • CoMargin
    Journal of Financial and Quantitative Analysis, 52(5), 2183-2215. Co-authored with Jeffrey H. Harris, Christophe Hurlin and Christophe Pérignon.
  • Clearing House, Margin Requirements, and Systemic Risk
    Review of Futures Markets 19 Special Edition (2011), 39-54. Co-authored with Jeffrey H. Harris and Christophe Pérignon.

Other Publications

  • Risk Accumulation in Central Counterparties
  • Foreign Reserves and Tail Risks
  • Systemically Important Members in Central Counterparties
  • The Limits of Diversification and the Pricing of Tail Risk

Book Chapters

  • Mind the Gap: Undercollateralization in the Global and Canadian OTCD Markets
    Peer-reviewed book chapter in Analyzing the Economics of Financial Market Infrastructure, IGI Global, Deutsche Bundesbank, Banco de Mexico, and De Nederlandsche Bank (2015).


  • Ph.D. Business Administration - Finance. Simon Fraser University, Canada.
  • Visiting Ph.D. Student. Queensland University of Technology, Australia.
  • Visiting Ph.D. Student. HEC Paris, France.
  • Ph.D. Core Courses. The University of British Columbia, Canada.
  • M.A. Financial Risk Management. Simon Fraser University, Canada.
  • B.B.A. Finance and Economics. Simon Fraser University, Canada.

Research Interests

  • Financial risk management
  • Asset pricing
  • Derivative securities


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