Gerardo Manzo

Two Sigma Investments

Thematic Researcher

100 Avenue of the Americas, Floor 16

New York, NY NY 10013

United States

http://www.gerardomanzo.com

University of Chicago - Booth School of Business

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

http://www.gerardomanzo.com

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Credit-Implied Volatility

Chicago Booth Research Paper No. 17-12
Number of pages: 59 Posted: 11 Mar 2015 Last Revised: 27 May 2017
Bryan T. Kelly, Gerardo Manzo and Diogo Palhares
University of Chicago - Finance, Two Sigma Investments and AQR Capital Management, LLC
Downloads 126 (24,618)

Abstract:

CDS, credit risk, implied volatility

2.

The Impact of Sovereign Shocks

Number of pages: 57 Posted: 17 Nov 2014 Last Revised: 21 Jan 2017
Gerardo Manzo and Antonio Picca
Two Sigma Investments and University of Chicago - Booth School of Business
Downloads 110 (79,553)

Abstract:

Systemic Risk, Contagion Risk, Banking Risk, Sovereign Risk, Fiscal Space, Narrative Approach, Real Economy

3.

Political Uncertainty, Credit Risk Premium and Default Risk

Number of pages: 36 Posted: 03 Mar 2014 Last Revised: 17 Nov 2014
Gerardo Manzo
Two Sigma Investments
Downloads 95 (105,013)

Abstract:

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