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.
Brigo, who moves to London to assume the newly created post, will lead the agency’s global CDO risk modelling efforts. These are part of Fitch’s quantitative financial research group. The group produces the research and analytics used by the agency across its structured finance business. It also conducts research on a broad range of credit risk-related topics.