Research output per year
Research output per year
Personal profile
Research interests
Pricing, risk measurement, credit, counterparty risk, and stochastic models for commodities and inflation
Education/Academic qualification
Doctor of Philosophy, Filtering By Projection on the Manifold of Exponential Densities, VU Amsterdam
Award Date: 1 Jan 1996
Bachelor of Science, University of Padua
Award Date: 1 Jan 1990
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Dive into the research topics where Damiano Brigo is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Nonlinear Valuation with XVAs: Two Converging Approaches
Brigo, D., Buescu, C., Francischello, M., Pallavicini, A. & Rutkowski, M., 2 Mar 2022, In: Mathematics. 10, 5, 31 p., 791.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)41 Downloads (Pure) -
Coherent risk measures alone are ineffective in constraining portfolio losses
Armstrong, J. & Brigo, D., Sept 2021, In: Journal of Banking and Finance. 106315.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
Non-Geometric Rough Paths on Manifolds
Armstrong, J., Brigo, D., Cass, T. & Rossi-Ferrucci, E., 29 Nov 2021, (Accepted/In press) In: JOURNAL OF THE LONDON MATHEMATICAL SOCIETY-SECOND SERIES.Research output: Contribution to journal › Article › peer-review
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Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility
Armstrong, J. & Brigo, D., 1 Apr 2019, In: Journal of Banking and Finance. 101, p. 122-135 14 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile13 Citations (Scopus)122 Downloads (Pure) -
Basel risk limits will not curb rogue traders
Armstrong, J. & Brigo, D., 1 May 2018, The Banker.Research output: Contribution to specialist publication › Featured article
Projects
- 1 Finished
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Towards next generation energy systems models
Brigo, D. & Shah, N.
1/07/2011 → 30/06/2015
Project: Research
Activities
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on "Randomness and the future: Stochastic Differential Equations in finance" at infinitamente, Verona
Damiano Brigo (Invited speaker)
Mar 2011 → …Activity: Participating in or organising an event › Participation in conference
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the C.R.E.D.I.T. conference 2010, Venice
Damiano Brigo (Keynote/plenary speaker)
Oct 2010 → …Activity: Participating in or organising an event › Participation in conference
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the 4th Risk Management Institute Conference, University of Singapore,
Damiano Brigo (Keynote/plenary speaker)
Jul 2010 → …Activity: Participating in or organising an event › Participation in conference
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Association for Financial Markets in Europe, AIFIRM representative for the working group "PUBLIC CONSULTATION ON CREDIT RATING AGENCIES
Damiano Brigo (Member)
2010 → …Activity: Other › Types of External academic engagement - Contribution to the work of national or international committees and working groups
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Editor of the Book "Credit Risk Frontiers" for Bloomberg Press/Wiley (Journal)
Damiano Brigo (Editor)
2010 → 2011Activity: Publication peer-review and editorial work › Editorial activity