Details about Jose A. Lopez

Access statistics for papers by Jose A. Lopez.

Last updated 2013-03-08. Update your information in the RePEc Author Service.

Short-id: plo1

Working Papers

2012

1. Pricing deflation risk with U.S. Treasury yields
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)

2011

2. Extracting deflation probability forecasts from Treasury yields
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)
   See also Journal Article in International Journal of Central Banking (2012)

2010

3. Bond currency denomination and the yen carry trade
   Working Paper Series, Federal Reserve Bank of San Francisco
4. How Does Competition Impact Bank Risk-Taking?
   Banco de España Working Papers, Banco de España View citations (4)
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) View citations (27)

2009

5. Do central bank liquidity facilities affect interbank lending rates?
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (25)
6. EAD calibration for corporate credit lines
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)
7. Foreign entry into underwriting services: evidence from Japan's "Big Bang" deregulation
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)

2008

8. Empirical analysis of corporate credit lines
   Banco de España Working Papers, Banco de España View citations (4)
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2007) View citations (7)
   See also Journal Article in Review of Financial Studies (2009)
9. Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (8)
   See also Journal Article in Journal of Money, Credit and Banking (2010)

2007

10. Determinants of access to external finance: evidence from Spanish firms
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (2)

2006

11. Foreign bank lending and bond underwriting in Japan during the lost decade
    Working Paper Series, Federal Reserve Bank of San Francisco

2005

12. Alternative measures of the Federal Reserve banks' cost of equity capital
    Public Policy Discussion Paper, Federal Reserve Bank of Boston View citations (2)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2005) View citations (2)
    See also Journal Article in Journal of Banking & Finance (2006)
13. Empirical analysis of the average asset correlation for real estate investment trusts
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
    See also Journal Article in Quantitative Finance (2009)

2004

14. Evaluating interest rate covariance models within a value-at-risk framework
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (9)
15. Using securities market information for bank supervisory monitoring
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (2)
    See also Journal Article in International Journal of Central Banking (2008)

2003

16. Does regional economic performance affect bank health? New analysis of an old question
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco

2002

17. The empirical relationship between average asset correlation, firm probability of default and asset size
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (3)
    See also Journal Article in Journal of Financial Intermediation (2004)

2001

18. Incorporating equity market information into supervisory monitoring models
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (13)
    See also Journal Article in Journal of Money, Credit and Banking (2004)
19. The Federal Reserve banks' imputed cost of equity capital
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (8)

2000

20. Evaluating covariance matrix forecasts in a value-at-risk framework
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (10)
21. Is implied correlation worth calculating? Evidence from foreign exchange options and historical data
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (8)
    Also in Research Paper, Federal Reserve Bank of New York (1997) View citations (1)

1999

22. Evaluating credit risk models
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (4)
    See also Journal Article in Journal of Banking & Finance (2000)
23. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market
    Staff Reports, Federal Reserve Bank of New York View citations (4)
    Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (1999) View citations (2)

1998

24. Methods for evaluating value-at-risk estimates
    Research Paper, Federal Reserve Bank of New York View citations (8)
    See also Journal Article in Economic Review (1999)

1997

25. Regulatory evaluation of value-at-risk models
    Staff Reports, Federal Reserve Bank of New York View citations (17)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1996) View citations (1)
    Research Paper, Federal Reserve Bank of New York (1997) View citations (3)

1996

26. Exchange rate cointegration across central bank regime shifts
    Research Paper, Federal Reserve Bank of New York View citations (6)
27. Forecast Evaluation and Combination
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (141)
    Also in Research Paper, Federal Reserve Bank of New York (1995) View citations (31)

1995

28. Evaluating the predictive accuracy of volatility models
    Research Paper, Federal Reserve Bank of New York View citations (8)
    See also Journal Article in Journal of Forecasting (2001)
29. Measuring Volatility Dynamics
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
30. Modeling volatility dynamics
    Research Paper, Federal Reserve Bank of New York View citations (32)
    Also in Home Pages, University of Pennsylvania View citations (17)

Journal Articles

2012

1. Extracting Deflation Probability Forecasts from Treasury Yields
   International Journal of Central Banking, 2012, 8, (4), 21-60
   See also Working Paper (2011)

2010

2. Challenges in economic capital modeling
   FRBSF Economic Letter, 2010, (Jun 21)
3. Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields
   Journal of Money, Credit and Banking, 2010, 42, (s1), 143-178 View citations (8)
   Also in Proceedings, 2009, (Jan) (2009)
   See also Working Paper (2008)

2009

4. Do supervisory rating standards change over time?
   Economic Review, 2009, 13-24 View citations (3)
5. Empirical Analysis of Corporate Credit Lines
   Review of Financial Studies, 2009, 22, (12), 5069-5098 View citations (7)
   See also Working Paper (2008)
6. Empirical analysis of the average asset correlation for real estate investment trusts
   Quantitative Finance, 2009, 9, (2), 217-229 View citations (1)
   See also Working Paper (2005)
7. Gauging aggregate credit market conditions
   FRBSF Economic Letter, 2009, (Oct 19)

2008

8. The economics of private equity investments: symposium summary
   FRBSF Economic Letter, 2008, (Feb 29)
9. Using Securities Market Information for Bank Supervisory Monitoring
   International Journal of Central Banking, 2008, 4, (1), 125-164 View citations (3)
   See also Working Paper (2004)
10. What is liquidity risk?
    FRBSF Economic Letter, 2008, (Oct 24) View citations (1)

2007

11. Competition and risk taking by Spanish banks
    Proceedings, 2007, (May), 369-376
12. Concentrations in commercial real estate lending
    FRBSF Economic Letter, 2007, (Jan 5)
13. Corporate access to external financing
    FRBSF Economic Letter, 2007, (Oct 19)
14. Financial innovations and the real economy: conference summary
    FRBSF Economic Letter, 2007, (Mar 2)
15. U.S. supervisory standards for operational risk management
    FRBSF Economic Letter, 2007, (May 4)

2006

16. Alternative measures of the Federal Reserve Banks' cost of equity capital
    Journal of Banking & Finance, 2006, 30, (6), 1687-1711 View citations (2)
    See also Working Paper (2005)
17. What is the Federal Reserve banks' imputed cost of equity capital?
    FRBSF Economic Letter, 2006, (Apr 7)

2005

18. Recent policy issues regarding credit risk transfer
    FRBSF Economic Letter, 2005, (Dec 2)
19. Stress tests: useful complements to financial risk models
    FRBSF Economic Letter, 2005, (Jun 24) View citations (3)

2004

20. Comment
    Journal of Business & Economic Statistics, 2004, 22, 165-169
21. Commentary on "Market indicators, bank fragility, and indirect market discipline"
    Economic Policy Review, 2004, (Sep), 67-71 View citations (1)
22. Incorporating Equity Market Information into Supervisory Monitoring Models
    Journal of Money, Credit and Banking, 2004, 36, (6), 1043-67 View citations (20)
    See also Working Paper (2001)
23. Outsourcing by financial services firms: the supervisory response
    FRBSF Economic Letter, 2004, (Nov 26)
24. Policy applications of a global macroeconomic model
    FRBSF Economic Letter, 2004, (Jun 11) View citations (2)
25. Supervising interest rate risk management
    FRBSF Economic Letter, 2004, (Sep 17)
26. The empirical relationship between average asset correlation, firm probability of default, and asset size
    Journal of Financial Intermediation, 2004, 13, (2), 265-283 View citations (30)
    See also Working Paper (2002)

2003

27. Disclosure as a supervisory tool: Pillar 3 of Basel II
    FRBSF Economic Letter, 2003, (Aug 1)
28. Forecasting supervisory ratings using securities market information
    Proceedings, 2003, (May), 278-289 View citations (2)
29. Formulating the imputed cost of equity capital for priced services at Federal Reserve banks
    Economic Policy Review, 2003, (Sep), 55-81 View citations (5)
30. How financial firms manage risk
    FRBSF Economic Letter, 2003, (Feb 14)
31. How might financial market information be used for supervisory purposes?
    Economic Review, 2003, 29-45 View citations (4)
32. Monitoring debt market information for bank supervisory purposes
    FRBSF Economic Letter, 2003, (Nov 28)
33. The current strength of the U.S. banking sector
    FRBSF Economic Letter, 2003, (Dec 19)
34. Using equity market information to monitor banking institutions
    FRBSF Economic Letter, 2003, (Jan 24) View citations (1)

2002

35. Off-site monitoring of bank holding companies
    FRBSF Economic Letter, 2002, (May 17) View citations (1)
36. What is operational risk?
    FRBSF Economic Letter, 2002, (Jan 25) View citations (2)

2001

37. Evaluating the Predictive Accuracy of Volatility Models
    Journal of Forecasting, 2001, 20, (2), 87-109 View citations (24)
    See also Working Paper (1995)
38. Federal Reserve banks' imputed cost of equity capital
    FRBSF Economic Letter, 2001, (Aug 10) View citations (3)
39. Financial instruments for mitigating credit risk
    FRBSF Economic Letter, 2001, (Nov 23) View citations (1)
40. Modeling credit risk for commercial loans
    FRBSF Economic Letter, 2001, (Apr. 27) View citations (1)
41. The Federal Reserve's imputed cost of equity capital: a survey
    Chicago Fed Letter, 2001, (Jul) View citations (1)

2000

42. Evaluating credit risk models
    Journal of Banking & Finance, 2000, 24, (1-2), 151-165 View citations (19)
    See also Working Paper (1999)
43. Patterns in the foreign ownership of U.S. banking assets
    FRBSF Economic Letter, 2000, (Nov. 24)
44. Volatility spillovers in the U.S. Treasury market
    FRBSF Economic Letter, 2000, (Feb 18) View citations (1)

1999

45. How frequently should banks be examined?
    FRBSF Economic Letter, 1999, (Feb 26) View citations (1)
46. Methods for evaluating value-at-risk estimates
    Economic Review, 1999, 3-17 View citations (37)
    Also in Economic Policy Review, 1998, (Oct), 119-124 (1998) View citations (7)
    See also Working Paper (1998)
47. Supervisory information and the frequency of bank examinations
    Economic Policy Review, 1999, (Apr), 1-20 View citations (16)
48. The Basel proposal for a new capital adequacy framework
    FRBSF Economic Letter, 1999, (Jul 30)
49. Using CAMELS ratings to monitor bank conditions
    FRBSF Economic Letter, 1999, (Jun) View citations (5)

1998

50. How effective is lifeline banking in assisting the 'unbanked'?
    Current Issues in Economics and Finance, 1998, (Jun) View citations (4)

1997

51. Regulatory evaluation of value-at-risk models using probability forecasts
    Proceedings, 1997, (May), 289-307