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D

Damiano Brigo

Imperial College London

38H-index
324Paper Count
6.8KCitation Count
Published Papers 9
Publication Date
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The importance of dynamic risk constraints for limited liability operators
errANNALS OF OPERATIONS RESEARCH
IF4.5
err2023-04-04
err0
errOAAI
errArmstrong, John; Brigo, Damiano; Tse, Alex S. L.
errShare
errSave
Coherent risk measures alone are ineffective in constraining portfolio losses
errJOURNAL OF BANKING & FINANCE
IF3.8
err2022-07-01
err2
PREAI
errArmstrong, John; Brigo, Damiano
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errSave
Forecasting recovery rates on non-performing loans with machine learning
errINTERNATIONAL JOURNAL OF FORECASTING
IF7.1
err2021-01-01
err39
errOAAI
errBellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frederic
errShare
errSave
The multivariate mixture dynamics model: shifted dynamics and correlation skew
errANNALS OF OPERATIONS RESEARCH
IF4.5
err2019-04-26
err2
errOAAI
errBrigo, Damiano; Pisani, Camilla; Rapisarda, Francesco
errShare
errSave
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2019-04-01
err14
PREAI
errBrigo, Damiano; Francischello, Marco; Pallavicini, Andrea
errShare
errSave
Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility
errJOURNAL OF BANKING & FINANCE
IF3.8
err2019-04-01
err17
errOAAI
errArmstrong, John; Brigo, Damiano
errShare
errSave
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2018-09-01
err17
PREAI
errBrigo, Damiano; Vrins, Frederic
errShare
errSave
The LIBOR model dynamics: Approximations, calibration and diagnostics
errEUROPEAN JOURNAL OF OPERATIONAL RESEARCH
IF6
err2005-05-01
err8
PREAI
errBrigo, D; Mercurio, F; Morini, M
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errSave
A differential geometric approach to nonlinear filtering: The projection filter
errIEEE TRANSACTIONS ON AUTOMATIC CONTROL
IF7
err1998-01-01
err68
errOAAI
errBrigo, D; Hanzon, B; LeGland, F
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errSave

Research Directions

No research directions
Co-authors
Cooperation Journals
A
Andrea Pallavicini
H-index: 24 · Papers: 124
A
Anthony Bellotti
H-index: 22 · Papers: 151
F
Fabio Mercurio
H-index: 22 · Papers: 96
M
Massimo Morini
H-index: 19 · Papers: 81
J
John Armstrong
H-index: 16 · Papers: 180
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