Jose A. Lopez

Federal Reserve Bank of San Francisco

Economist

101 Market Street

San Francisco, CA 94105

United States

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SCHOLARLY PAPERS

27

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Scholarly Papers (27)

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1.

Evaluating Credit Risk Models

FRBSF Working Paper No. 99-06
Number of pages: 23 Posted: 27 Jul 1999
Jose A. Lopez and Marc R. Saidenberg
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads 3,883 (5,517)
Citation 3

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2.

Methods for Evaluating Value-at-Risk Estimates

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 6 Posted: 16 Nov 2007
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 1,745 (19,782)
Citation 34

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capital regulation

3.

How Does Competition Impact Bank Risk Taking?

EFA 2007 Ljubljana Meetings Paper, FRB of San Francisco Working Paper No. 2007-23, AFA 2008 New Orleans Meetings Paper
Number of pages: 37 Posted: 27 Feb 2007
Jesus Saurina Salas, Gabriel Jiménez and Jose A. Lopez
Banco de España, Banco de España and Federal Reserve Bank of San Francisco
Downloads 1,535 (24,101)
Citation 7

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bank competition, franchise value, Lerner index

4.

Regulatory Evaluation of Value-at-Risk Model

96-51
Number of pages: 34 Posted: 01 Feb 1997
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 1,384 (28,062)
Citation 2

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5.

How Does Competition Impact Bank Risk-Taking?

Banco de Espana Working Paper No. 1005
Number of pages: 35 Posted: 05 Apr 2010 Last Revised: 08 Apr 2010
Gabriel Jiménez, Jose A. Lopez and Jesus Saurina Salas
Banco de España, Federal Reserve Bank of San Francisco and Banco de España
Downloads 954 (47,895)
Citation 46

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bank competition, franchise value, Lerner index, credit risk, financial stability

6.

An Algorithmic Model for Retail Credit Portfolio Segmentation

Journal of Risk Model Validation, Forthcoming
Number of pages: 23 Posted: 13 Mar 2013 Last Revised: 28 May 2013
Andy Yeh and Jose A. Lopez
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco
Downloads 952 (48,052)

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Basel model development, Monte Carlo simulation, asymptotic single risk factor model, credit risk, segmentation, retail mortgage segmentation, k-means cluster analysis, risk capital management, asset correlation analysis

7.

Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework

FRB of San Francisco Working Paper No. 2000-21
Number of pages: 52 Posted: 28 Mar 2002
Jose A. Lopez and Christian A. Walter
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads 894 (52,430)
Citation 4

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covariance matrix, volatility forecasting, value-at-risk

8.

Regulatory Evaluation of Value-at-Risk Models

FRB of New York Staff Report No. 33
Number of pages: 32 Posted: 09 Nov 2006
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 742 (67,314)
Citation 15

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value-at-risk, volatility modeling, probability forecasting, bank regulation

9.

Empirical Analysis of Corporate Credit Lines

Downloads 495 (111,991)
Citation 43

Empirical Analysis of Corporate Credit Lines

FRB of St. Louis Working Paper No. 2007-14
Number of pages: 36 Posted: 27 Feb 2007
Jesus Saurina Salas, Gabriel Jiménez and Jose A. Lopez
Banco de España, Banco de España and Federal Reserve Bank of San Francisco
Downloads 348 (166,350)
Citation 7

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credit lines, firm default, bank lending

Empirical Analysis of Corporate Credit Lines

Banco de Espana Working Paper No. 0821
Number of pages: 35 Posted: 02 Oct 2008
Gabriel Jiménez, Jose A. Lopez and Jesus Saurina Salas
Banco de España, Federal Reserve Bank of San Francisco and Banco de España
Downloads 147 (381,715)
Citation 37

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credit lines, firm default, bank lending, exposure at default

Empirical Analysis of Corporate Credit Lines

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5069-5098, 2009
Posted: 24 Nov 2009
Gabriel Jiménez, Jose A. Lopez and Jesús Saurina
Banco de España, Federal Reserve Bank of San Francisco and Bank of Spain

Abstract:

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E32, G18, M21

10.

The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size

FRB of San Francisco Working Paper No. 2002-05
Number of pages: 65 Posted: 04 May 2005
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 442 (128,034)
Citation 31

Abstract:

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Risk management

11.

Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market

FRB of New York Staff Report No. 82
Number of pages: 37 Posted: 13 Nov 1999
Michael J. Fleming and Jose A. Lopez
Federal Reserve Bank of New York and Federal Reserve Bank of San Francisco
Downloads 418 (136,603)
Citation 16

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volatility, trading volume, GARCH, intraday, U.S. Treasury securities market

12.

Determinants of Access to External Finance: Evidence from Spanish Firms

FRB of San Francisco Working Paper No. 2007-22
Number of pages: 42 Posted: 02 Nov 2007
Raquel Lago, Jesus Saurina Salas and Jose A. Lopez
Banco de España, Banco de España and Federal Reserve Bank of San Francisco
Downloads 354 (164,619)
Citation 3

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external finance, bank relationships, hold-up, business cycle

13.

Supervisory Information and the Frequency of Bank Examinations

Economic Policy Review, Vol. 5, No. 1, April 1999
Number of pages: 19 Posted: 02 Aug 2007
Beverly Hirtle and Jose A. Lopez
Federal Reserve Bank of New York - Banking Studies Department and Federal Reserve Bank of San Francisco
Downloads 341 (171,423)
Citation 8

Abstract:

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bank supervision, bank examination

14.

Alternative Measures of the Federal Reserve Banks' Cost of Equity Capital

Downloads 341 (171,423)
Citation 4

Alternative Measures of the Federal Reserve Banks' Cost of Equity Capital

FRB of Boston Public Policy Discussion Paper No. 05-2
Number of pages: 37 Posted: 04 Mar 2006
Michelle L. Barnes and Jose A. Lopez
Federal Reserve Bank of Boston and Federal Reserve Bank of San Francisco
Downloads 214 (273,165)
Citation 5

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cost of equity, return on equity, CAPM, payments system

Alternative Measures of the Federal Reserve Banks' Cost of Equity Capital

FRB of San Francisco Working Paper No. 2005-06
Number of pages: 37 Posted: 20 May 2005
Michelle L. Barnes and Jose A. Lopez
Federal Reserve Bank of Boston and Federal Reserve Bank of San Francisco
Downloads 127 (428,864)
Citation 1

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Monetary Control Act of 1980, CAPM model

15.

Empirical Analysis of the Average Asset Correlation for Real Estate Investment Trusts

FRB of San Francisco Working Paper No. 2005-22
Number of pages: 34 Posted: 07 Dec 2005
Jose A. Lopez
Federal Reserve Bank of San Francisco
Downloads 317 (185,193)
Citation 1

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16.

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

Downloads 298 (197,737)

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

FRB of San Francisco Working Paper No. 2004-03
Number of pages: 56 Posted: 08 Dec 2003
Miguel A. Ferreira and Jose A. Lopez
Nova School of Business and Economics and Federal Reserve Bank of San Francisco
Downloads 298 (196,417)
Citation 5

Abstract:

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Interest rates, GARCH, Forecasting, Value-at-Risk

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

Journal of Financial Econometrics, Vol. 3, No. 1, pp. 126-168, Winter 2005
Posted: 29 Feb 2008
Miguel A. Ferreira and Jose A. Lopez
Nova School of Business and Economics and Federal Reserve Bank of San Francisco

Abstract:

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covariance models, forecasting, GARCH, interest rates, risk management, value-at-risk

Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework

Posted: 27 Oct 2004
Miguel A. Ferreira and Jose A. Lopez
Nova School of Business and Economics and Federal Reserve Bank of San Francisco

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Interest rates, Covariance models, GARCH, Forecasting, Value-at-Risk

17.

Does Regional Economic Performance Affect Bank Conditions? New Analysis of an Old Question

FRB of San Francisco Working Paper No. 2004-01
Number of pages: 35 Posted: 05 May 2004
Mary C. Daly, John Krainer and Jose A. Lopez
Federal Reserve Bank of San Francisco, Board of Governors of the Federal Reserve System and Federal Reserve Bank of San Francisco
Downloads 287 (206,428)
Citation 2

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18.

How Effective is Lifeline Banking in Assisting the 'Unbanked'?

Current Issues in Economics and Finance, Vol. 4, No. 6, June 1998
Number of pages: 6 Posted: 03 Jul 2007
Joseph J. Doyle, Jose A. Lopez and Marc R. Saidenberg
Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA), Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads 225 (261,685)
Citation 6

Abstract:

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lifeline, banking, unbanked, check cashing

19.

Formulating the Imputed Cost of Equity Capital for Priced Services at Federal Reserve Banks

Economic Policy Review, Vol. 9, No. 3, September 2003
Number of pages: 27 Posted: 25 Aug 2005
Edward J. Green, Jose A. Lopez and Zhenyu Wang
Federal Reserve Bank of Chicago, Federal Reserve Bank of San Francisco and Indiana University, Kelley School of Business
Downloads 219 (268,364)
Citation 2

Abstract:

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priced services, Federal Reserve Banks, cost of equity, asset pricing

20.

Forecast Evaluation and Combination

NBER Working Paper No. t0192
Number of pages: 48 Posted: 22 Jul 2000 Last Revised: 13 Jul 2023
Francis X. Diebold and Jose A. Lopez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of San Francisco
Downloads 167 (342,849)

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21.

Incorporating Equity Market Variables into Supervisory Monitoring Models

FRB of San Francisco Working Paper No. 2001-14
Number of pages: 51 Posted: 11 Dec 2001
John Krainer and Jose A. Lopez
Board of Governors of the Federal Reserve System and Federal Reserve Bank of San Francisco
Downloads 155 (365,127)
Citation 21

Abstract:

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market information, bank supervision, forecasting

22.

Using Securities Market Information for Bank Supervisory Monitoring

Federal Reserve Bank of San Francisco Working Papers No. 2004-05
Number of pages: 48 Posted: 13 May 2004
John Krainer and Jose A. Lopez
Board of Governors of the Federal Reserve System and Federal Reserve Bank of San Francisco
Downloads 143 (389,721)
Citation 7

Abstract:

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Bank supervision

23.

Foreign Bank Lending and Bond Underwriting in Japan During the Lost Decade

FRB of San Francisco Working Paper No. 2006-45
Number of pages: 37 Posted: 17 Aug 2007
Jose A. Lopez and Mark M. Spiegel
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco - Economic Research Department
Downloads 120 (446,358)

Abstract:

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Foreign banking, underwriting, samurai bonds

24.

Uncertainty and Hyperinflation: European Inflation Dynamics after World War I

Downloads 97 (519,860)
Citation 5

Uncertainty and Hyperinflation: European Inflation Dynamics after World War I

CESifo Working Paper Series No. 7066
Number of pages: 52 Posted: 21 Jul 2018
Jose A. Lopez and Kris James Mitchener
Federal Reserve Bank of San Francisco and Santa Clara University - Leavey School of Business - Economics Department
Downloads 66 (661,379)

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hyperinflation, uncertainty, exchange rates, prices, reparations

Uncertainty and Hyperinflation: European Inflation Dynamics after World War I

NBER Working Paper No. w24624
Number of pages: 51 Posted: 25 May 2018 Last Revised: 14 Apr 2023
Jose A. Lopez and Kris James Mitchener
Federal Reserve Bank of San Francisco and Santa Clara University - Leavey School of Business - Economics Department
Downloads 31 (906,440)
Citation 5

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Uncertainty and Hyperinflation: European Inflation Dynamics after World War I

CEPR Discussion Paper No. DP12951
Number of pages: 53 Posted: 31 May 2018
Jose A. Lopez and Kris James Mitchener
Federal Reserve Bank of San Francisco and Santa Clara University - Leavey School of Business - Economics Department
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Exchange Rates, Hyperinflation, prices, reparations, uncertainty

25.

Foreign Entry into Underwriting Services: Evidence from Japan's 'Big Bang' Deregulation

Number of pages: 41 Posted: 21 Jan 2009
Jose A. Lopez and Mark M. Spiegel
Federal Reserve Bank of San Francisco and Federal Reserve Bank of San Francisco - Economic Research Department
Downloads 82 (577,074)

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underwriting, Japan, securities, euro-yen, Samurai, difference-in-differences

26.

Calibrating Macroprudential Policies for the Canadian Mortgage Market

C.D. Howe Institute Commentary 570 (2020)
Number of pages: 28 Posted: 04 May 2020
Scott A. Brave, Jeremy Kronick and Jose A. Lopez
Federal Reserve Bank of Chicago, C.D. Howe Institute and Federal Reserve Bank of San Francisco
Downloads 72 (621,078)

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Financial Services and Regulation; Monetary Policy

27.

Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence

Downloads 37 (830,871)
Citation 49

Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence

NBER Working Paper No. w25004
Number of pages: 37 Posted: 17 Sep 2018 Last Revised: 28 Apr 2023
Jose A. Lopez, Andrew Kenan Rose, Andrew Kenan Rose and Mark M. Spiegel
Federal Reserve Bank of San Francisco, NUS Business SchoolUniversity of California - Haas School of Business and Federal Reserve Bank of San Francisco - Economic Research Department
Downloads 37 (853,419)
Citation 48

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Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence

CEPR Discussion Paper No. DP13010
Number of pages: 34 Posted: 26 Jun 2018
Jose A. Lopez, Andrew Kenan Rose, Andrew Kenan Rose and Mark M. Spiegel
Federal Reserve Bank of San Francisco, NUS Business SchoolUniversity of California - Haas School of Business and Federal Reserve Bank of San Francisco - Economic Research Department
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data, deposit, effective, empirical, firm, panel, regression, zero bound