Publications in Refereed Journals

Forte, S. and Lovreta, L., 2023, "Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility", Journal of Corporate Finance, Vol. 79, 102347.

Forte, S. and Lovreta, L., 2019, "Volatility Discovery: Can the CDS Market Beat the Equity Options Market?", Finance Research Letters, Vol. 28, 107-111.

Forte, S. and Lovreta, L., 2015, "Time-Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times", European Financial Management, Vol. 21, Issue 3, 430-461.

Forte, S. and Lovreta, L., 2012, "Endogenizing Exogenous Default Barrier Models: The MM Algorithm", Journal of Banking and Finance, Vol. 36, Issue 6, 1639-1652.*                                                

Forte, S., 2011, "Calibrating Structural Models: A New Methodology Based on Stock and Credit Default Swap Data", Quantitative Finance, Vol. 11, Issue 12, 1745-1759.**

Forte, S. and Peña, J.I, 2011, "Debt Refinancing and Credit Risk", Spanish Review of Financial Economics, Vol. 9, Issue 1, 1-10.

Forte, S. and Peña, J.I., 2009, "Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS", Journal of Banking and Finance, Vol. 33, Issue 11, 2013-2025.**

Forte, S., 2009, "Capital Structure: Optimal Leverage and Maturity Choice in a Dynamic Model", Revista de Economía Financiera, No 18, 26-47.

Working Papers

 "A Simple Nonparametric Approach to Pricing Credit Default Swaps". 2025. 2nd Review and Resubmit. Internet Appendix 1. Internet Appendix 2. 

Permanent Working Papers

"A Simple Non-Parametric Approach to the Term Structure and Time Decomposition of Credit Default Swap Spreads". 2023. (Numerical Example: 10 Years.xlsx)

"Credit Risk Discovery in the Stock and Credit Default Swap Market: Who Leads, When, and Why?". 2009. (with Lidija Lovreta).

"Implied Default Barrier in Credit Default Swap Premia". 2008. (with Francisco Alonso and José Manuel Marqués).

Awards

* Best Paper Award on Risk Management. 4th Workshop on Risk Management and Insurance, 2011, and 

Banco Santander and Fundación UCEIF Grant, 2009.

** This paper is part of the research project "Credit Spreads: Theory and Evidence about the Information Content of Stocks, Bonds and CDS", that received the following awards:

International Corporate Risk School Award – Banco Santander, 2007, and

STOXX 2006 Risk Management Research Award; Silver Award. 15th EFMA Meeting, 2006.