Home
Research
Teaching
CV
     
 
                                              Curriculum Vitae

                                                Santiago Forte

                                                    May 2018 


Contact Information                                               
                  
Department of Economics, Finance and Accounting

ESADE Business School

Av. Torreblanca 59

E-08172 Sant Cugat del Vallès

Barcelona, Spain

Tel. +34 932 806 162

Fax +34 932 048 105 

santiago.forte@esade.edu  

www.santiagoforte.com

Education

· Ph.D in Economics. Universidad Carlos III de Madrid; Madrid, Spain.
  December 2004.

· B.S. in Economics. Universidad Carlos III de Madrid; Madrid, Spain. June
  1998.

Areas of Interest

· Credit Risk, Capital Structure, Assets' Valuation

Faculty Positions

· Associate professor. Department of Economics, Finance and Accounting.
  ESADE; Barcelona, Spain. 2012-present.

· Academic Director MSc in Finance. ESADE; Barcelona, Spain. 2014-2016.

· Assistant professor. Department of Financial Management and Control.
  ESADE; Barcelona, Spain. 2004-2012.

· Assistant professor. Department of Economics. Universidad Carlos III de
  Madrid; Madrid, Spain. 1999-2001.

· Assistant professor. Department of Business Administration. Universidad
  Carlos III de Madrid; Madrid, Spain. 1998-1999.

Research Stays

· Copenhagen Business School; Copenhagen, Denmark. October 2010 – 
  January 2011.

· Bank of Spain; Madrid, Spain. January 2005 – July 2005.

· CentER, Tilburg University; Tilburg, Netherlands. September 2003 – October 
  2003.

· RiskLab Toronto, University of Toronto; Toronto, Canada. September 2002 – 
  December 2002.

Publications in Refereed Journals

· Forte, S. and Lovreta, L., 2018, "Volatility Discovery: Can the CDS Market Beat
  the Equity Options Market?", Finance Research Letters (forthcoming).

· 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., 2010, "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

·
"Forward CDS and the Time Decomposition of Credit Spreads". 2017.
   Publication Status: Submitted.

· "Volatility Discovery: Can the CDS Market Beat the Equity Options Market?".
   2017. (with Lidija Lovreta). Publication Status: Submitted.

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

· "Implied Default Barrier in Credit Default Swap Premia". 2008. (with Francisco
   Alonso and José Manuel Marqués). Publication Status: Mimeo.

Press Articles

·
"La Dictadura de los Anarquistas", CincoDías, 08/02/2013.

Conferences 

· XXIV Finance Forum; Madrid, Spain. July 2016.

· IFABS 2016; Barcelona, Spain. June 2016.

· XIX Finance Forum; Granada, Spain. November 2011.

· 4th Workshop on Risk Management and Insurance; Seville, Spain. October
  2011.

· XVIII Finance Forum; Elche, Spain. November 2010.

· EFMA 2010 Annual Meeting; Aarhus, Denmark. June 2010.

· XVI Finance Forum; Barcelona, Spain. November 2008.

· EFMA 2008 Annual Meeting; Athens, Greece. June 2008.

· International Risk Management Conference; Florence, Italy. June 2008.

· C.R.E.D.I.T. 2007 Conference; Venice, Italy. September 2007

· 5th INFINITI Conference on International Finance; Dublin, Ireland. June 2007.

· FMA 2007 European Conference; Barcelona, Spain. June 2007.

· EFMA 2006 Annual Meeting; Madrid, Spain. June 2006.

· XIII Finance Forum; Madrid, Spain. November 2005.

· C.R.E.D.I.T. 2005 Conference; Venice, Italy. September 2005.

· XXVIII Simposio de Análisis Económico; Seville, Spain. December 2003.

· XI Finance Forum; Alicante, Spain. November 2003.

· C.R.E.D.I.T. 2003 Conference; Venice, Italy. September 2003.

· LACEA Meeting; Madrid, Spain. October 2002.

· IX Finance Forum; Pamplona, Spain. November 2001.

Workshops 

· "A Practical Approach to the Estimation of Structural Credit Risk Models with
   Constant Default Barrier: The MM Algorithm". 

      · ESADE; Barcelona, Spain. July 2011.

      · Universidad Pablo de Olavide; Sevilla, Spain. June 2011.

· "Pseudo Maximum Likelihood Estimation of Structural Credit Risk Models with
   Exogenous Default Barrier”.

      · Copenhagen Business School; Copenhagen, Denmark. November 2010.

· "Credit Spreads: Theory and Evidence on the Informational Content of
   Stocks, Bonds, and CDS”.

      · Universidad de Navarra; Pamplona, Spain. December 2007.

      · ESADE; Barcelona, Spain. November 2007.

· "Implied Default Barrier in Credit Default Swap Premia"

      · Instituto BME RiskLab-Madrid, Palacio de la Bolsa de Madrid; Madrid,
        Spain. March 2007.

      · ESADE; Barcelona, Spain. March 2007.

· "Credit Spreads: Theory and Evidence about the Information Content of
   Stocks, Bonds and CDSs"

      · HEC Paris; Paris, France. June 2006.

      · Universitat Autònoma de Barcelona; Bellaterra, Barcelona, Spain March
        2006.

· "Construcción de Indicadores Sectoriales de Riesgo de Crédito a partir del
   Mercado de Acciones: Una Aplicación de los Modelos Estructurales"

      · Bank of Spain; Madrid, Spain. June 2005.

· "The Market Price of Credit Risk in Stocks, Bonds and CDSs: Theory and
   Evidence"


      · ESADE; Barcelona, Spain. September 2005.

      · Bank of Spain; Madrid, Spain. February 2005.

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


      · Universidade Nova de Lisboa; Lisbon, Portugal. March 2004.

      · ESADE; Barcelona, Spain. February 2004.

      · Department of Business Administration. Universidad Carlos III de Madrid;
        Madrid, Spain. July 2003. 

      · RiskLab Toronto. University of Toronto; Toronto, Canada. November
        2002.

· "The Desing of Refinancing Contracts"
 
      · Department of Economics. Universidad Carlos III de Madrid; Madrid,
        Spain. October 2002.

Associate Editor

·
Spanish Review of Financial Economics: 2013-2017.

Ad Hoc Referee

European Journal of Finance, Financial Management, Financial Review, Investigaciones Económicas, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Stability, Journal of International Money and Finance, Journal of Risk and Insurance, Moneda y Crédito, Quantitative Finance, Revista de Economía Aplicada.

Organization of Conferences

· XXVI Finance Forum, 2018. Scientific Committee Member.

· XXV Finance Forum, 2017. Scientific Committee Member.

· XXIV Finance Forum, 2016. Scientific Committee Member.

· XXIII Finance Forum, 2015. Scientific Committee Member.

· EFMA 2015 Annual Meeting. Scientific Committee Member.

· XXII Finance Forum, 2014. Scientific Committee Member.

. 4th Workshop on Risk Management and Insurance, 2011. Scientific
  Committee Member.

· FMA 2007 European Conference. Scientific Committee Member.

· EFMA 2006 Annual Meeting. Scientific Committee Member.

Projects


· "Determining the Default Barrier in Structural Credit Risk Models by Maximum
   Likelihood Estimation"

      · Main researcher: Santiago Forte.

      · Financial support institution: Banco Santander - Fundación UCEIF.

      · Period: 2009.

· "Las Nuevas Regulaciones de los Mercados Sobre Mercancías y Servicios en la
   Unión Europea: Microestructura, Formación de Precios y Gestión de Riesgos"

      · Main researcher: Juan Ignacio Peña Sánchez de Rivera.

      · Financial support institution: Ministerio de Ciencia y Tecnología.

      · Period: 2003 - 2005.

      · Ref: BEC2002-00279.

Fellows

· Research Fellow - Bank of Spain. Bank of Spain; Madrid, Spain. January 2005
  - July 2005.

· University Staff Training Fellow - Ministerio de Educación, Cultura y Deportes.
  Universidad Carlos III de Madrid; Madrid, Spain. 2001 - 2004.

· Research Assistant Fellow - Ministerio de Educación, Cultura y Deportes.
  Universidad Carlos III de Madrid; Madrid, Spain. 1998.

· Erasmus Fellow - European Community. Tilburg University; Tilburg,
  Netherlands. 1997.

Awards

· "Best Paper Award on Risk Management". 4th Workshop on Risk Management
   and Insurance. Seville, Spain. 2011.

     · Selecting committee:

           · Chairman: 

             D. Victor Sánchez Nogueras, General manager of the Risk Division, 
             Cajasol-Banca Cívica.             

           · Members:

             Dr. D. José Luis Martín, Professor Emeritus, Pablo de Olavide
             University.
             Dr. D. Ola Sholarín, University of Websmister.
             Dr. D. Enrique Jiménez Rodríguez, Pablo de Olavide University.

           · Secretary: 

             Dr. D. José Manuel Feria Domínguez, Pablo de Olavide University.

· "International Corporate Risk School Award – Santander, 2007".

     · Selecting committee:

            · Chairman: 

              D. Matías Rodríguez Inciarte. Third vice president. Santander Group.

            · Members:

              D. Javier Peralta de las Heras. General manager of the Risk Division.
              Santander Group.
              D. Juan Andrés Yanes Luciani. General assistant manager of the Risk
              Division. Santander Group.
              D. Ernesto Zulueta Benito. General deputy assistant manager. Head 
              of standardised risk. Santander Group.
              D. José Corral Vallespín. General deputy assistant manager. Risk               manager for wholesale banking and business banking. Santander
              Group.
              D. Rui Felipe Barrento Bandeira. Head of risk methodology,
              processes and infrastructures. Santander Group.
              D. Jaime Caraza Morales. Head of financial risk. Santander Group.
              D. Javier Hidalgo Blázquez. Head of business banking. Retail Banking
              Division in Spain. Santander Group.
              D. Guillermo Cisneros Garrido. Head of corporate training and
              development. Santander Group.

            · Secretary: 

              D. Francisco Javier Martínez García, General Manager of the UCEIF
              Foundation.

· "STOXX 2006 Risk Management Research Award"; Silver Award. 15th 
   European Financial Management Association Meeting. Madrid, Spain. 2006.

      · Selecting committee:

              Viral Acharya, London Business School 

              Yacov Amihud, Stern School of Business, New York University 

              Gunter Franke, University of Konstanz