Lidija Lovreta
Researcher
Dr. Lidija Lovreta és doctora en Ciències de la Gestió amb el Doctorat Europeu d'ESADE. La seva recerca se centra en el risc de crèdit (modelatge, calibratge, aplicacions). Ha participat en diverses conferències internacionals i el seu treball ha estat publicat a la Journal of Banking and Finance, European Financial Management Journal i European Journal of Finance. Va ser docent de diversos cursos de finances al CUNEF i la Universitat Autònoma de Barcelona (UAB). També té experiència professional com a consultora, principalment en valoració d'empreses.
Ph D - Doctor of Philosophy | , ESADE Business School, Universidad Ramon Llull
Academic
Visiting Professor, Universidad Autónoma de Barcelona (UAB) (2014-2017)
Assistant Professor, CUNEF (Colegio Universitario de Estudios Financieros) (2010-2014)
Professional
Consultant, Corporate Finance sector, Centre for Economic Studies, CES Mecon (1999-2006)
Journal Article, Scholarly
Forte, S. , LOVRETA, L. (2023). Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility. : JOURNAL OF CORPORATE FINANCE.
LOVRETA, L. , González-Pla, F. (2022). Modeling and forecasting firm-specific volatility: The role of asymmetry and long-memory. : FINANCE RESEARCH LETTERS.
LOVRETA, L. , López Pascual , J. (2020). Structural breaks in the interaction between bank and sovereign default risk. Journal of the Spanish Economic Association: SERIEs.
LOVRETA, L. , Silaghi, F. (2020). The surface of implied firm’s asset volatility. : JOURNAL OF BANKING & FINANCE.
LOVRETA, L. , González-Pla, F. (2019). Persistence in firm’s asset and equity volatility. : PHYSICA A: STATISTICAL MECHANICS AND ITS APPLICATIONS.
LOVRETA, L. , Forte, S. (2019). Volatility discovery: Can the CDS market beat the equity options market?. : FINANCE RESEARCH LETTERS.
LOVRETA, L. , Mladenović, Z. (2018). Do the stock and CDS markets price credit risk equally in the long-run?. : EUROPEAN JOURNAL OF FINANCE.
LOVRETA, L. (2016). Demand-supply imbalances in the credit default swap market: empirical evidence. : EUROPEAN JOURNAL OF FINANCE.
LOVRETA, L. , Forte, S. (2015). Time-Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times. : EUROPEAN FINANCIAL MANAGEMENT.
Forte, S. , LOVRETA, L. (2012). Endogenizing exogenous default barrier models: The MM algorithm. : JOURNAL OF BANKING & FINANCE.
Case Study with Teaching Note
LOVRETA, L. , Duca, E. (2015). Bankinter: Growth Options During the Spanish Crisis. : Ivey Publishing.