Damiano Brigo

Expertise: Finance, Quants, Risk Management
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Damiano Brigo

Damiano Brigo is one of the few top academics with a real knowledge of the financial industry. With more than twenty years of industry experience, Damiano has worked on risk management, valuation and hedging and quantitative methods in finance in many financial institutions, from commercial banks to investment banks, rating agencies and financial services firms.

He has provided executive education and cutting edge training and advice to hedge funds, banks, regulators, central banks, and institutional bodies such as ESM and EBA.

At the same time, Damiano is head of group and full professor (chair) in Mathematical Finance at Imperial College London, consistently ranked among the top ten world universities. Previous roles include Managing Director and Quantitative Innovation Global Head in Fitch Ratings, Head of Credit Models in Banca IMI and Fixed Income Professor at Bocconi University.

Damiano serves in the advisory board of financial services firms and published 100+ journal works in Quantitative Finance, Systems Theory, Probability and Statistics, and field reference books in Interest Rates and Credit Modelling (H-index 39, 7000+ citations).

The most cited Risk Magazine author in 1998-2017, Damiano holds a PhD in stochastic filtering with differential geometry and a BSc in Mathematics.

Damiano has co-authored a number of books:


This book has become a field reference for interest rate modelling in derivatives markets. It sits virtually in any trading floor and is used also in graduate programs across the world. The 2nd edition of this successful book has several new features.

The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced.

The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach.

Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis. Responding to the immediate need for clarity in the market and academic research environments, this book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods ranging from the introduction of the Gaussian Copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. It also illustrates the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities, and explains why the Gaussian Copula model is still used in its base correlation formulation. The book reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009, making it an important addition to modern derivatives literature. With banks and regulators struggling to fully analyze at a technical level, many of the flaws in modern financial models, it will be indispensable for quantitative practitioners and academics who want to develop stable and functional models in the future.

The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular ‘concrete’ financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity.

The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price  counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems.


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