Publications in Refereed Journals

Forte, S., 2025, "A Simple Nonparametric Approach to Pricing Credit Default Swaps", Journal of Economic Dynamics and Control, Vol 180, 105198. Internet Appendix 1. Internet Appendix 2. 

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

Forte, S. and Lovreta, L., 2025, "Equity Volatility Persistence and Leverage Adjustment Speed", SSRN Working Paper.

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.