Pellegrino was handed a public vote of confidence by chairman Ralph Krueger yesterday.
Pellegrino stated: "He was a manager in a different sport, but he is a man of sport. Also Les [Reed] knows what people need in this environment. We work to take responsibility for our acts and we work hard to try and improve.
"At the moment we are in this side and we have to do everything we can to try and change.
"We know the big risk in our job is to work in this job, I prefer to assume risk in this job and prefer to make mistakes, than to do anything. Sometimes I do the right thing, sometimes not, but we are responsible.
"I feel fear for other things, not about football. I feel responsible and am disappointed because we lost, but I don't feel fear."