Damiano Brigo
2nd Most Prolific Credit Author in DefaultRisk.com
2nd Most Popular Author in DefaultRisk.com
Fitch-Solutions -- Quantitative Financial Research team
101 Finsbury Pavement
London
EC2A 1RS
UK
- Free University of Amsterdam, Ph. D. (Stochastic Systems and Nonlinear Filtering Theory) (1996)
- In 2008, Damiano was appointed as visiting professor at the Department of Mathematics at Imperial College, London. In July 2007, Damiano joined London-based DerivativeFitch as Managing Director and Global Head of the Quantitative Structured Credit Innovation (Q-SCI) team, now part of the Fitch-Solutions-QFR department.
- He is a managing editor of the International Journal of Theoretical and Applied Finance.
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Publications: that are posted on DefaultRisk.com
Credit Modeling
Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
by Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(206K PDF) -- 17 pages -- March 22, 2007
Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model
by Damiano Brigo of Banca IMI,
Andrea Pallavicini of Banca IMI,and
Roberto Torresetti of Banca IMI
(313K PDF) -- 35 pages -- January 12, 2007
Credit Derivatives
Counterparty Risk Valuation for Energy-commodities Swaps: Impact of volatilities and correlation
by Damiano Brigo of FitchSolutions & Imperial College,
Kyriakos Chourdakis of FitchSolutions & University of Essex, and
Imane Bakkar of FitchSolutions
(345K PDF) -- 21 pages -- June 24, 2008
Counterparty Risk for Credit Default Swaps: Impact of spread volatility and default correlation
by Damiano Brigo of FitchSolutions & Imperial College, and
Kyriakos Chourdakis of FitchSolutions & University of Essex
(239K PDF) -- 19 pages -- May 28, 2008
Arbitrage-free Pricing of Credit Index Options: The no-armageddon pricing measure and the role of correlation after the subprime crisis
by Massimo Morini of Banca IMI & Bocconi University, and
Damiano Brigo of Fitch Solutions
(295K PDF) -- 25 pages -- December 2007
An Exact Formula for Default Swaptions Pricing in the SSRJD Stochastic Intensity Model
by Damiano Brigo of Q-SCI, DerivativeFitch, and
Naoufel El-Bachir of University of Reading
(315K PDF) -- 18 pages -- November 8, 2007
Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of University of Reading
(655K PDF) –- 22 pages -- December 5, 2006
Inflation Indexed Credit Default Swaps
by Marco Avogaro of Bocconi University & Banca IMI, and
Damiano Brigo of Bocconi University & Banca IMI
(437K PDF) -- 52 pages -- June 30, 2006
A Dynamic Programming Approach for Pricing CDS and CDS Options
by Hatem Ben-Ameur of HEC Montréal,
Damiano Brigo of Banca IMI, and
Eymen Errais of Stanford University
(230K PDF) -- 22 pages -- March 18, 2006
CDS Calibration with Tractable Structural Models Under Uncertain Credit Quality
by Damiano Brigo of Banca IMI, and
Massimo Morini of Banca IMI
(213K PDF) -- 13 pages -- November 1, 2005
Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
by Damiano Brigo of Banca IMI, and
Marco Tarenghi of Banca IMI
(226K PDF) -- 22 pages -- April 29, 2005
Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model
by Damiano Brigo of Banca IMI, and
Marco Tarenghi of Banca IMI
(331K PDF) -- 36 pages -- March 8, 2005
Constant Maturity Credit Default Swap Pricing with Market Models
by Damiano Brigo of Banca IMI
(244K PDF) -- 24 pages -- March 2, 2005
Candidate Market Models and the Calibrated CIR++ Stochastic Intensity Model for Credit Default Swap Options and Callable Floaters
by Damiano Brigo of Banca IMI
(304K PDF) -- 35 pages -- March 2005
A Comparison Between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing
by Damiano Brigo of Banca IMI, and
Laurent Cousot of Courant Institute
(257K PDF) -- 28 pages -- September 12, 2004
Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model
by Damiano Brigo of Banca IMI, and
Aurélien Alfonsi of Banca IMI
(257K PDF) -- 29 pages -- August 13, 2004
Collateralized Debt Obligations
Implied Expected Tranched Loss Surface from CDO Data
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(677K PDF) –- 13 pages -- May 8, 2007
Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model
by Damiano Brigo of Banca IMI,
Andrea Pallavicini of Banca IMI, and
Roberto Torresetti of Banca IMI
(299K PDF) -– 35 pages -- May 3, 2007
Risk Neutral versus Objective Loss Distribution and CDO Tranches Valuation
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(213K PDF) –- 13 pages -- April 13, 2007
Implied Correlation in CDO Tranches: A Paradigm To Be Handled with Care
by Roberto Torresetti of Banca IMI,
Damiano Brigo of Banca IMI, and
Andrea Pallavicini of Banca IMI
(119K PDF) -– 9 pages -- November 22, 2006
A Correlation Bridge between Structural Models and Reduced Form Models for Multiname Credit Derivatives
by Damiano Brigo of Banca IMI, and
Eymen Errais of Stanford University
(238K PDF) –- 21 pages -- June 3, 2005
Credit Correlation
New Families of Copulas Based on Periodic Functions
by Aurélien Alfonsi of Ecole Nationale des Ponts et Chaussées, and
Damiano Brigo of Banca IMI
(162K PDF) –- 17 pages -- December 19, 2005
Quantitative Methods
A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of Fitch-Solutions,
Antonio Dalessandro of Fitch-Solutions,
Matthias Neugebauer of Fitch-Solutions, and
Fares Triki of Fitch-Solutions
(893K PDF) -- 43 pages -- November 17, 2007
Other
A Formula for Interest Rate Swaps Valuation under Counterparty Risk in presence of Netting Agreements
by Damiano Brigo of Banca IMI,
Massimo Masetti of Banca IMI
(264K PDF) -– 31 pages -- May 4, 2005
Books:
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