Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models

DAMIANO BRIGO is Managing Director and Global Head of the Quantitative team in Fitch Solutions, and Visiting Professor at the Department of Mathematics at Imperial College, London.
Damiano has published more than 50 articles in top journals for mathematical finance, systems theory, probability and statistics, and a book for Springer Verlag that has become a field reference in stochastic interest rate modeling. Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance, he is a member of the Fitch Academic Advisory Board and is part of scientific committees for academic conference occurring at MIT and other academic and industry institutions. Damiano has also been a charter member of Risk's Who's Who since 2007.
Damiano's interests include pricing, risk measurement, credit and default modeling, counterparty risk, and stochastic dynamical models for commodities and inflation.
Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honours from the University of Padua.

ANDREA PALLAVICINI is Head of Financial Engineering at Banca Leonardo in Milan. Previously, he worked as Head of Equity and Hybrid Models in Banca IMI, working also on dynamical loss models, interest-rate derivatives, smile modelling and counterparty risk.
Over the years he has published several academic and practitioner-oriented articles in financial modeling, theoretical physics and astrophysics. He has taught Master courses in finance at the Universities of Pavia and Milan.
He obtained a Degree in astrophysics, and a Ph.D. in theoretical and mathematical physics from the University of Pavia.

ROBERTO TORRESETTI is responsible for Structured Credit Derivatives at BBVA. He was previously a senior credit derivatives modeller at Banca IMI and equity derivatives analyst at Lehman Brothers and a quantitative fund manager at San Paolo IMI Asset Management. He holds a bachelor's degree in economics from Università Bocconi in Milan and completed his MA in economics at Università Bocconi and MS in financial mathematics at the University of Chicago.