Av. Torreblanca 59
Sant Cugat del Vallès, Barcelona 08172
Spain
http://www.santiagoforte.com
ESADE Business School, Ramon Llull University
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capital structure, optimal leverage, optimal maturity, dynamic model
credit risk, structural model, credit default swap, implied default barrier
Credit risk, credit default swap, price discovery
Refinancing Contract, Credit Rating, Credit Spreads
No-arbitrage credit risk pricing, term structure of CDS spreads, spot and forward CDS contracts
Credit Default Swaps; Capital Structure; Asset Volatility; Equity Volatility; Leverage Effect; Cross-Sectional Predictability
CDS market; options market; implied volatility; fractional cointegration; volatility discovery
no-arbitrage conditions, bootstrapping, CDS contracts, credit risk pricing
Credit risk, credit default swap market, stock market, price discovery
Structural credit risk models, hidden parameters, iterative algorithm
Structural credit risk models, Calibration, Default barrier
Credit spreads, Structural credit risk models, Price discovery
