Dr. Lidija Lovreta holds a Ph.D in Management Sciences with European Doctorate Mention from ESADE. Her research focuses on credit risk (modelling, calibration, applications). She has participated in a number of international conferences and her work has been published in the Journal of Banking and Finance, European Financial Management Journal and European Journal of Finance. She was teaching various finance courses at CUNEF and Universidad Autónoma de Barcelona (UAB). She has also professional experience as a consultant, mainly in valuation of companies.
Ph D - Doctor of Philosophy | , ESADE Business School, Universidad Ramon Llull
Visiting Professor, Universidad Autónoma de Barcelona (UAB) (2014-2017)
Assistant Professor, CUNEF (Colegio Universitario de Estudios Financieros) (2010-2014)
Consultant, Corporate Finance sector, Centre for Economic Studies, CES Mecon (1999-2006)
Journal Article, Scholarly
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.