Cranfield School of Management

Qualifications

Ph.D, Cranfield University, UK
MBA, IESE Business School, Spain
MBA – Exchange, Kellogg School of Management, USA
BSc, Technical University of Lisbon, Portugal
BSc – Exchange, Swiss Institute of Technology, Switzerland

Position

Lecturer in Finance, AESE Business School, Portugal.

Background

Prior joining to Cranfield University, Manuel worked for the Boston Consulting Group (Madrid) as well as A.T.Kearney (Madrid) as a strategy consultant. He also worked as a Project Manager of different construction projects and managed several real estate developments.

Research Topic

Testing the Performance of Structural Models in Pricing Credit Spreads and the Efficiency of the CDS market.

Research Issue

There is a lack of consensus in the literature regarding the performance of structural models, even though they have been used as a standard in credit risk modelling for the last thirty years.

The analysis of the literature yielded three main areas warranting research:

The first area to be dealt with is the lack of consensus regarding the performance of structural models, more specifically the under or over prediction between implied and observed spreads. In addition, I endeavour to provide an alternative credit risk proxy since most of the existing literature is based on bond spreads, which are a poor proxy for credit risk, since they are influenced by non credit risk components such as illiquidity, tax premia or the coupon effect.

Second, I explore whether the credit risk-related information is incorporated in CDS and equity markets at the same speed. More specifically, I investigate the uni-directional and bi-directional nature of the price discovery process (i.e. uni-directional or bi-directional Granger causality relationship), which is not covered by the existing literature. In case price discovery occurs in one market ahead of the other, the second market is deemed to be weak-form inefficient.

Third, I test whether the trading components of capital structure arbitrage - buy or sell CDS and long or short equity - generate risk-adjusted returns. If any of the components of CDS (equity) trading strategies yield abnormal returns, the CDS (equity) market should be deemed as semi-strong form inefficient.

The Impact of the Cranfield PhD on my Career

The Cranfield Ph.D in Management is a world-class Ph.D program with an outstanding Faculty and very professional Supervision driven by a passion of turning ideas into action. This program fostered my capacity to come along with a strong research contribution across the Ph.D Program. In addition the Cranfield Ph.D helped to further develop my research, critical thinking and writing skills which are extremely valuable for my future career.

Published Papers

Rodrigues, M. and Agarwal, V, “The Performance of Structural Models in Pricing Credit Spreads”
- Presented at the annual meeting of the Midwest Finance Association (New Orleans, LA, USA, Feb. 2012), at the Financial Management Association European Conference (Istambul, Turkey, Jun. 2012) and at the annual meeting of the European Financial Management Association (Barcelona, Spain, Jun. 2012).

Rodrigues, Manuel, and Vineet Agarwal, “Risk-adjusted Returns of CDS and Equity Trading Strategies and a Test of Market Efficiency and Price Discovery”
- Accepted for presentation at the annual meeting of the Financial Management Association Annual Meeting (Atlanta, USA, Oct. 2012)