Gerardo Manzo

Kepos Capital

620 Eighth Avenue

New York, NY 10018

United States

SCHOLARLY PAPERS

4

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7

CROSSREF CITATIONS

12

Scholarly Papers (4)

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1.

Credit-Implied Volatility

Number of pages: 47 Posted: 11 Mar 2015 Last Revised: 05 Jun 2019
Bryan T. Kelly, Gerardo Manzo and Diogo Palhares
Yale SOM, Kepos Capital and affiliation not provided to SSRN
Downloads 1,971 (12,828)
Citation 8

Abstract:

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CDS, credit risk, implied volatility

2.

The Impact of Sovereign Shocks

Number of pages: 46 Posted: 17 Nov 2014 Last Revised: 03 Dec 2018
Gerardo Manzo and Antonio Picca
Kepos Capital and Goldman Sachs Group, Inc.
Downloads 504 (87,394)
Citation 6

Abstract:

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Systemic Risk, Contagion Risk, Banking Risk, Sovereign Risk, Fiscal Fragility, Narrative Approach

3.

Political Uncertainty, Credit Risk Premium and Default Risk

Number of pages: 36 Posted: 03 Mar 2014 Last Revised: 17 Nov 2014
Gerardo Manzo
Kepos Capital
Downloads 490 (90,418)
Citation 7

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Political Uncertainty, Credit Risk Premium, Default Risk, Sovereign Debt Crisis

4.

Deep Learning Credit Risk Modeling

Forthcoming Journal of Fixed Income
Posted: 04 Aug 2020 Last Revised: 11 Jun 2021
Gerardo Manzo and Xiao Qiao
Kepos Capital and School of Data Science, City University of Hong Kong

Abstract:

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Deep Learning, Machine Learning, Credit Risk Modeling, Default Risk, Sovereign Risk, Neural Networks