Derivative Fitch appoints global CDO risk modelling head
Damiano Brigo has been hired by London and New York-based rating agency Derivative Fitch, as head of global collateralised debt obligation (CDO) risk modelling.
Brigo was previously head of the credit models department at Banca IMI in Milan. He has produced a number of academic papers on financial risk modelling, including several that have been published in Risk. His work has included research on volatility smiles, constant maturity credit default swaps and interest rates. He was awarded a PhD in stochastic filtering with differential geometry in 1996 by the Free University of Amsterdam.
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