Damiano Brigo - Publications, H-index & Citations

Damiano Brigo

Imperial College London

38H指数

324论文数

6.8K被引数

收录论文 9

发表时间

The importance of dynamic risk constraints for limited liability operators

ANNALS OF OPERATIONS RESEARCH

IF4.5

2023-04-04

OAAI

Armstrong, John; Brigo, Damiano; Tse, Alex S. L.

Coherent risk measures alone are ineffective in constraining portfolio losses

JOURNAL OF BANKING & FINANCE

IF3.8

2022-07-01

PREAI

Armstrong, John; Brigo, Damiano

Forecasting recovery rates on non-performing loans with machine learning

INTERNATIONAL JOURNAL OF FORECASTING

IF7.1

2021-01-01

OAAI

Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frederic

The multivariate mixture dynamics model: shifted dynamics and correlation skew

ANNALS OF OPERATIONS RESEARCH

IF4.5

2019-04-26

OAAI

Brigo, Damiano; Pisani, Camilla; Rapisarda, Francesco

Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

2019-04-01

PREAI

Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea

Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility

JOURNAL OF BANKING & FINANCE

IF3.8

2019-04-01

OAAI

Armstrong, John; Brigo, Damiano

Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

2018-09-01

PREAI

Brigo, Damiano; Vrins, Frederic

The LIBOR model dynamics: Approximations, calibration and diagnostics

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

IF6

2005-05-01

PREAI

Brigo, D; Mercurio, F; Morini, M

A differential geometric approach to nonlinear filtering: The projection filter 非线性滤波的微分几何方法: 投影滤波器

IEEE TRANSACTIONS ON AUTOMATIC CONTROL

IF7

1998-01-01

OAAI

Brigo, D; Hanzon, B; LeGland, F

研究方向