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Damiano Brigo

 Damiano Brigo

1st Most Prolific Credit Author in DefaultRisk.com
5th Most Popular Author in DefaultRisk.com

Imperial College -- Department of Mathematics
180 Queen's Gate
London
WC2R 2LS
UK

-and-

Capco
9 Appold Street
London
EC2A 2AP
UK

  • Free University of Amsterdam, Ph. D. (Stochastic Systems and Nonlinear Filtering Theory) (1996)
  • In 2010, Prof. Brigo was appointed as Gilbart Chair of Financial Mathematics at King's College, London. In 2007, he joined London-based Fitch Ratings as Managing Director and served as Global Head of the Quantitative Structured Credit Innovation and lead the FitchSolutions Quantitative Research department.
  • Prof. Brigo is a managing editor of the International Journal of Theoretical and Applied Finance.

 

Contact:   Email address secured by Enkoder.
e-mail

 

External links for Damiano Brigo and his worksOfficial Page "Personal" Page
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Publications: that are posted on DefaultRisk.com

Credit Pricing

Efficient Pricing of Default Risk: Different approaches for a single goal
by Damiano Brigo of Banca IMI, and
Massimo Morini of the University of Milan Bicocca
(99K PDF) -- 10 pages -- 2005

Credit Modeling

Pricing Counterparty Risk Including Collateralization, Netting Rules, Re-Hypothecation and Wrong-Way Risk
by Damiano Brigo of Imperial College London,
Agostino Capponi of Purdue University,
Andrea Pallavicini of Imperial College London, and
Vasileios Papatheodorou of Barclays Capital
(659K PDF) -- 39 pages -- March 2013

Credit Calibration with Structural Models: The Lehman case and equity swaps under counterparty risk
by Damiano Brigo of Imperial College & Fitch Solutions,
Massimo Morini of Banca IMI, and
Marco Tarenghi of Banca Leonardo
(238K PDF) -- 21 pages -- December 22, 2009

Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default
by Damiano Brigo of FitchSolutions & Imperial College, London, and
Andrea Pallavicini of Banca Leonardo
(201K PDF) -- 19 pages -- March 26, 2008

Cluster-based Extension of the Generalized Poisson Loss Dynamics and Consistency with Single Names
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

Restructuring Counterparty Credit Risk
by Claudio Albanese of Global Valuation, Ltd, London,
Damiano Brigo of King's College, London, and
Frank Oertel of Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin)
(566K PDF) -- 27 pages -- March 2013

Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
by Damiano Brigo of King's College London,
Cristin Buescu of King's College London,
Andrea Pallavicini of Banca IMI, and
Qing Liu of King's College London
(119K PDF) -- 8 pages -- July 17, 2012

Funding Valuation Adjustment: A consistent framework including CVA, DVA, collateral, netting rules and re-hypothecation
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of King's College, London
(260K PDF) -- 23 pages -- December 12, 2011

Impact of the First to Default Time on Bilateral CVA
by Damiano Brigo of the King's College, London,
Cristin Buescu of the King's College, London, and
Massimo Morini of the Banca IMI & Bocconi University, Milan
(204K PDF) -- 14 pages -- June 20, 2011

Dangers of Bilateral Counterparty Risk: The fundamental impact of closeout conventions
by Damiano Brigo of the King's College, London, and
Massimo Morini of the Banca IMI
(561K PDF) -- 24 pages -- November 16, 2010

Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations
by Damiano Brigo of Imperial College & Fitch Solutions,
Andrea Pallavicini of Banca Leonardo, and
Vasileios Papatheodorou of Fitch Solutions
(451K PDF) -- 23 pages -- February 3, 2010

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
by Damiano Brigo of Imperial College & FitchSolutions,
Agostino Capponi of the California Institute of Technology
(371K PDF) -- 32 pages -- November 18, 2009

Charting a Course Through the CDS Big Bang
by Johan Beumee of FitchSolutions,
Damiano Brigo of FitchSolutions,
Gareth Stoyle of FitchSolutions, and
Daniel Schiemert of FitchSolutions
(110K PDF) -- 13 pages -- April 7, 2009

An Exact Formula for Default Swaptions' Pricing in the SSRJD Stochastic Intensity Model
by Damiano Brigo of Fitch Solutions & Imperial College, and
Naoufel El-Bachir of the University of Reading
(424K PDF) -- 22 pages -- December 22, 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
(213K PDF) -- 19 pages -- October 3, 2008

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

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

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Naoufel El-Bachir of the 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 the Università di Milano - Bicocca
(213K PDF) -- 13 pages -- November 2005

CDS Market Formulas and Models
by Damiano Brigo of Banca IMI, and
Massimo Morini of the Università di Milano - Bicocca
(264K PDF) -- 28 pages -- September 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

The Stochastic Intensity SSRD Model Implied Volatility Patterns for Credit Default Swap Options and the Impact of Correlation
by Damiano Brigo of Banca IMI, and
Laurent Cousot of Courant Institute
(257K PDF) -- 28 pages -- September 12, 2004

Credit Default Swap Calibration and Derivatives Pricing with the SSRD Stochastic Intensity Model
by Damiano Brigo of Banca IMI, and
Aurélien Alfonsi of Banca IMI
(291K PDF) -- 27 pages -- February 18, 2004

Collateralized Debt Obligations

Credit Models and the Crisis, or: How I learned to stop worrying and love the CDOs
by Damiano Brigo of Imperial College,
Andrea Pallavicini of Banca Leonardo, and
Roberto Torresetti of BBVA
(2,098K PDF) -- 66 pages -- January 12, 2010

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

Consistent Single- and Multi-step Sampling of Multivariate Arrival Times: A characterization of self-chaining copulas
by Damiano Brigo of King's College, London, and
Kyriakos Chourdakis of King's College, London
(215K PDF) -- 23 pages -- May 1, 2012

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

Liquidity

Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo of King's College, London, and
Claudio Nordio of Banco Popolare, Milan
(227K PDF) -- 11 pages -- October 20, 2010

Credit Default Swaps Liquidity Modeling: A survey
by Damiano Brigo of Imperial College,
Mirela Predescu of  Lloyds TSB, and
Agostino Capponi of the California Institute of Technology
(436K PDF) -- 36 pages -- March 20, 2010

Quantitative Methods

A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 2007

Other Credit

CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models
by Damiano Brigo of Imperial College, London,
João Garcia - Independent Consultant, UK, and
Nicola Pede of Imperial College, London
(329K PDF) -- 29 pages -- February 28, 2013

Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
by Andrea Pallavicini of Banca IMI, Milan, and
Damiano Brigo of Imperial College, London
(286K PDF) -- 25 pages -- April 5, 2013

Funding, Collateral and Hedging: Uncovering the mechanics and the subtleties of funding valuation adjustments
by Andrea Pallavicini of Banca IMI, Milan,
Daniele Perini of Mediobanca, Milan, and
Damiano Brigo of Imperial College, London
(422K PDF) -- 38 pages -- December 13, 2012

Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
by Damiano Brigo of King's College, London
(402K PDF) -- 47 pages -- November 8, 2011

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 & Book Chapters:

Counterparty Credit Risk and Hybrid Models: Interest Rates, Commodities, Equity and FX  Counterparty Credit Risk and Hybrid Models: Interest Rates, Commodities, Equity and FX
Damiano Brigo, Massimo Morini, & Andrea Pallavicini, Wiley, December 4, 2012, Hardcover, 256 pages
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
Tomasz Bielecki, Damiano Brigo, Frederic Patras
Bloomberg Press, (February 8, 2011), Hardcover, 754 pages
Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
Wiley, (June 15, 2010), Paperback, 176 pages
Encyclopedia of Quantitative Finance (4-Volume Set) Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages
Interest Rate Models--Theory and Practice Interest Rate Models -- Theory and Practice: With Smile, Inflation and Credit, 2 nd Edition
by Damiano Brigo and Fabio Mercurio
Springer, (May 19, 2006), Hardcover, 981 pages
Counterparty Credit Risk Modelling: Risk Management Pricing and Regulation Counterparty Credit Risk Modelling: Risk Management Pricing and Regulation
by Michael Pykhtin (Editor)
Risk Books, (December 14, 2005), Hardcover, 399 pages
Derivatives Trading and Option Pricing Derivatives Trading and Option Pricing
by Nicholas Dunbar (Editor)
Risk Books, (March 2005), Hardcover, 415 pages

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