Lidija Lovreta

Autonomous University of Barcelona

Edifici B, Campus UAB

Bellaterra , Barcelona 08193

Spain

  • Autonomous University of Barcelona

SCHOLARLY PAPERS

4

DOWNLOADS

600

TOTAL CITATIONS

10

Scholarly Papers (4)

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1.

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 600 (97,808)
Citation 10

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Credit risk, credit default swap, price discovery

2.

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

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

3.

Demand-Supply Imbalances in the Credit Default Swap Market: Empirical Evidence

The European Journal of Finance, Forthcoming
Posted: 29 Mar 2012 Last Revised: 14 Aug 2014
Lidija Lovreta
Autonomous University of Barcelona

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Credit Default Swaps; Demand-Supply Imbalance; Liquidity Premium

4.

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

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Structural credit risk models, hidden parameters, iterative algorithm

Other Papers (1)

Total Downloads: 81
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1.

The Surface of Asset Implied Volatility

Number of pages: 33 Posted: 04 Jun 2016
Lidija Lovreta and Florina Silaghi
Autonomous University of Barcelona and Autonomous University of Barcelona
Downloads 81

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Asset implied volatility, Volatility surface, Structural credit risk models