Jorge Cruz Lopez

University of Western Ontario

Associate Professor (Visiting)

Social Science Centre, Room 4071

London, Ontario N6A 5C2

Canada

http://economics.uwo.ca/people/faculty/cruzlopez.html

Financial Network Analytics (FNA)

Director of Advanced Analytics and Research

4-8 Crown Place

London, EC2A 4BT

United Kingdom

http://fna.fi/company/jorge-cruz-lopez/

SCHOLARLY PAPERS

4

DOWNLOADS

605

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

CoMargin

Number of pages: 66 Posted: 14 Oct 2011 Last Revised: 21 Dec 2015
University of Western Ontario, University of Orleans, American University - Department of Finance and Real Estate and HEC Paris - Finance Department
Downloads 379 (83,553)
Citation 1

Abstract:

Loading...

Collateral, Counterparty Risk, Derivatives Markets, Extreme Dependence

2.

The Limits of Diversification and the Pricing of Tail Risk

Number of pages: 53 Posted: 24 Feb 2010 Last Revised: 08 Aug 2011
Jorge Cruz Lopez
University of Western Ontario
Downloads 142 (219,133)

Abstract:

Loading...

Asset Pricing, Copulas, Diversification, Maximum Likelihood

3.

European Puts, Credit Protection, and Endogenous Default

Number of pages: 35 Posted: 14 Dec 2018 Last Revised: 09 Jan 2020
Jorge Cruz Lopez and Alfredo IbaƱez
University of Western Ontario and Comillas Pontifical University
Downloads 51 (411,076)

Abstract:

Loading...

equity puts, endogenous default, default corridor, credit risk, insurance

4.

Clearing House, Margin Requirements, and Systemic Risk

Review of Futures Markets, Vol. 19 (2011)
Number of pages: 17 Posted: 21 Apr 2018
Jorge Cruz Lopez, Jeffrey H. Harris and Christophe Perignon
University of Western Ontario, American University - Department of Finance and Real Estate and HEC Paris - Finance Department
Downloads 33 (484,246)
Citation 1

Abstract:

Loading...

derivatives, tail risk, default risk, extreme dependence, copulas