Santiago Forte

ESADE Business School, Ramon Llull University

Av. Torreblanca 59

Sant Cugat del Vallès, Barcelona 08172

Spain

http://www.santiagoforte.com

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 41,883

SSRN RANKINGS

Top 41,883

in Total Papers Downloads

2,562

TOTAL CITATIONS

21

Scholarly Papers (12)

1.

Capital Structure: Optimal Leverage and Maturity Choice in a Dynamic Model

Revista de Economía Financiera, 2009, Vol. 18, 26-47.
Number of pages: 33 Posted: 08 Feb 2006 Last Revised: 14 Feb 2023
Santiago Forte
ESADE Business School, Ramon Llull University
Downloads 748 (72,786)

Abstract:

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capital structure, optimal leverage, optimal maturity, dynamic model

2.

Implied Default Barrier in Credit Default Swap Premia

Banco de España Research Paper
Number of pages: 47 Posted: 06 Feb 2007 Last Revised: 30 Jul 2008
Francisco Alonso, J. Manuel Marqués and Santiago Forte
Banco de España, Banco de España and ESADE Business School, Ramon Llull University
Downloads 657 (85,933)
Citation 4

Abstract:

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credit risk, structural model, credit default swap, implied default barrier

3.

Credit Risk Discovery in the Stock and CDS Markets: Who Leads, When, and Why?

Number of pages: 40 Posted: 28 Jul 2008 Last Revised: 14 Feb 2023
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and Autonomous University of Barcelona
Downloads 596 (97,313)
Citation 10

Abstract:

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Credit risk, credit default swap, price discovery

4.

Debt Refinancing and Credit Risk

Spanish Review of Financial Economics, 2011, Vol. 9, 1-10.
Number of pages: 38 Posted: 10 Oct 2010 Last Revised: 14 Feb 2023
Santiago Forte and Juan Ignacio Peña
ESADE Business School, Ramon Llull University and Universidad Carlos III de Madrid
Downloads 173 (367,387)
Citation 1

Abstract:

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Refinancing Contract, Credit Rating, Credit Spreads

5.

A Simple Non-Parametric Approach to the Term Structure and Time Decomposition of Credit Default Swap Spreads

Number of pages: 53 Posted: 20 Jul 2022 Last Revised: 07 Jun 2023
Santiago Forte
ESADE Business School, Ramon Llull University
Downloads 137 (446,282)

Abstract:

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No-arbitrage credit risk pricing, term structure of CDS spreads, spot and forward CDS contracts

6.

Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility

Journal of Corporate Finance, 2023, Vol. 79, 102347.
Number of pages: 92 Posted: 25 Jun 2019 Last Revised: 14 Feb 2023
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and EADA Business School
Downloads 125 (479,924)

Abstract:

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Credit Default Swaps; Capital Structure; Asset Volatility; Equity Volatility; Leverage Effect; Cross-Sectional Predictability

7.

Volatility Discovery: Can the CDS Market Beat the Equity Options Market?

Finance Research Letters, 2019, Vol. 28, 107-111.
Number of pages: 10 Posted: 20 Nov 2017 Last Revised: 14 Feb 2023
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and EADA Business School
Downloads 101 (567,043)
Citation 6

Abstract:

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CDS market; options market; implied volatility; fractional cointegration; volatility discovery

8.

A Simple Nonparametric Approach to the Term Structure of Credit Default Swap Spreads

Number of pages: 51 Posted: 24 Mar 2025
Santiago Forte
ESADE Business School, Ramon Llull University
Downloads 25 (1,071,864)

Abstract:

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no-arbitrage conditions, bootstrapping, CDS contracts, credit risk pricing

9.

Time-Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times

European Financial Management, 2015, Vol. 21, 430-461.
Posted: 12 Apr 2012 Last Revised: 13 Feb 2023
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and Autonomous University of Barcelona

Abstract:

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Credit risk, credit default swap market, stock market, price discovery

10.

Endogenizing Exogenous Default Barrier Models: The MM Algorithm

Journal of Banking and Finance, 2012, Vol. 36, 1639-1652.
Posted: 19 Dec 2009 Last Revised: 13 Feb 2023
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and Autonomous University of Barcelona

Abstract:

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Structural credit risk models, hidden parameters, iterative algorithm

11.

Calibrating Structural Models: A New Methodology Based on Stock and Credit Default Swap Data

Quantitative Finance, 2011, Vol. 11, 1745-1759.
Posted: 21 Jul 2008 Last Revised: 13 Feb 2023
Santiago Forte
ESADE Business School, Ramon Llull University

Abstract:

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Structural credit risk models, Calibration, Default barrier

12.

Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS

Journal of Banking and Finance, 2009, Vol. 33, 2013-2025.
Posted: 16 May 2005 Last Revised: 13 Feb 2023
Santiago Forte and Juan Ignacio Peña
ESADE Business School, Ramon Llull University and Universidad Carlos III de Madrid

Abstract:

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Credit spreads, Structural credit risk models, Price discovery