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, 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.
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.
More on People
Job changes in the derivatives, regulation and risk industry throughout Asia
Appointment signals new direction for unit, says minister
Kamal Naqvi leaves dual roles amid Swiss bank’s exit from commodities
Other commodities moves at CME Group, Deutsche Bank & NextEra Energy
Sign up for Risk.net email alerts
Sponsored webinar: IBM Risk Analytics
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.