Santiago Forte

ESADE Business School, Ramon Llull University

Av. Torreblanca 59

Sant Cugat del Vallès, Barcelona 08172

Spain

http://www.santiagoforte.com

SCHOLARLY PAPERS

10

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1,922

SSRN CITATIONS
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SSRN RANKINGS

Top 40,543

in Total Papers Citations

3

CROSSREF CITATIONS

11

Scholarly Papers (10)

1.

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

Revista de Economía Financiera, Vol. 18, pp. 26-47, 2009
Number of pages: 33 Posted: 08 Feb 2006 Last Revised: 18 Jan 2012
Santiago Forte
ESADE Business School, Ramon Llull University
Downloads 649 (41,184)

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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 611 (44,656)
Citation 4

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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: 18 Dec 2009
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and Autonomous University of Barcelona
Downloads 471 (62,137)
Citation 10

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Credit risk, credit default swap, price discovery

4.

Debt Refinancing and Credit Risk

Spanish Review of Financial Economics, Vol. 9, Issue 1, pp. 1-10
Number of pages: 38 Posted: 10 Oct 2010 Last Revised: 19 Jan 2012
Santiago Forte and Juan Ignacio Peña
ESADE Business School, Ramon Llull University and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 116 (247,819)

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Refinancing Contract, Credit Rating, Credit Spreads

5.

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

Number of pages: 10 Posted: 20 Nov 2017
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and EADA Business School
Downloads 57 (378,989)

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

6.

Implied Equity and Firm Asset Volatility in Credit Default Swap Premia

Number of pages: 61 Posted: 25 Jun 2019
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and EADA Business School
Downloads 18 (553,013)

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Credit Default Swap, Implied Firm Asset Volatility, Implied Equity Volatility, Leverage Effect

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

European Financial Management, Vol. 21, Issue 3, pp. 430-461, 2015
Number of pages: 32 Posted: 02 Jun 2015
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and Autonomous University of Barcelona
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credit risk, credit default swap market, stock market, price discovery

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

European Financial Management, Forthcoming
Posted: 12 Apr 2012 Last Revised: 26 Jun 2013
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and Autonomous University of Barcelona

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

8.

Endogenizing Exogenous Default Barrier Models: The MM Algorithm

Journal of Banking and Finance, Vol. 36, Issue 6, 1639-1652
Posted: 19 Dec 2009 Last Revised: 14 Apr 2012
Santiago Forte and Lidija Lovreta
ESADE Business School, Ramon Llull University and Autonomous University of Barcelona

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Structural credit risk models, hidden parameters, iterative algorithm

9.

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

Quantitative Finance, Vol. 11, Issue 12, pp. 1745-1759, 2011
Posted: 21 Jul 2008 Last Revised: 19 Jan 2012
Santiago Forte
ESADE Business School, Ramon Llull University

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Structural credit risk models, Calibration, Default barrier

10.

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

Journal of Banking and Finance, Vol. 33, pp. 2013-2025, November 2009
Posted: 16 May 2005 Last Revised: 19 Jan 2012
Santiago Forte and Juan Ignacio Peña
ESADE Business School, Ramon Llull University and Universidad Carlos III de Madrid - Department of Business Administration

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Credit spreads, Structural credit risk models, Price discovery