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.
The week in Risk.net, May 19-25 2017Receive this by email