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.
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.
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.
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
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).