Pasquale Cirillo

ZHAW School of Management and Law

St.-Georgen-Platz 2

Winterthur, 8401

Switzerland

  • ZHAW School of Management and Law

SCHOLARLY PAPERS

17

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19

CROSSREF CITATIONS

5

Scholarly Papers (17)

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1.

The Decline of Violent Conflicts: What Do the Data Really Say?

The Nobel Foundation, Causes of Peace, Forthcoming, NYU Tandon Research Paper No. 2876315
Number of pages: 26 Posted: 30 Nov 2016
Pasquale Cirillo and Nassim Nicholas Taleb
ZHAW School of Management and Law and New York University (NYU) - NYU Tandon School of Engineering
Downloads 7,869 (1,659)
Citation 6

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2.

Expected Shortfall Estimation for Apparently Infinite-Mean Models of Operational Risk

Quantitative Finance, Volume 16, 2016 - Issue 10
Number of pages: 23 Posted: 27 Oct 2015 Last Revised: 12 Jan 2017
Pasquale Cirillo and Nassim Nicholas Taleb
ZHAW School of Management and Law and New York University (NYU) - NYU Tandon School of Engineering
Downloads 2,467 (11,366)
Citation 3

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Operational risk, Expected Shortfall, Infinite Mean, VaR

3.

On the Statistical Properties and Tail Risk of Violent Conflicts

Physica A., Forthcoming, NYU Tandon Research Paper No. 2675355
Number of pages: 13 Posted: 18 Oct 2015 Last Revised: 27 Jun 2017
Pasquale Cirillo and Nassim Nicholas Taleb
ZHAW School of Management and Law and New York University (NYU) - NYU Tandon School of Engineering
Downloads 845 (56,272)
Citation 2

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Risk, Extreme Value Theory, Black Swan, Violence

4.

Modeling the Dependence between PD and LGD

Number of pages: 53 Posted: 09 Feb 2018
Pasquale Cirillo and Vittorio Maio
ZHAW School of Management and Law and Independent
Downloads 595 (88,597)

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Bivariate Non Central Beta, Credit Risk, Frank Copula, PD - LGD correlation, Regulatory Capital, Survival Analysis, Unexpected Loss

5.

From Concentration Profiles to Concentration Maps. New Tools for the Study of Loss Distributions.

Number of pages: 34 Posted: 13 Oct 2016 Last Revised: 01 Dec 2017
Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 564 (94,838)
Citation 2

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concentration profile, concentration map, Gini index, Lorenz curve, CAES, ES, VaR

6.

Portfolio Risk and the Quantum Majorization of Correlation Matrices

Number of pages: 22 Posted: 12 Jan 2019 Last Revised: 10 Feb 2020
Andrea Fontanari, Iddo Eliazar, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), Tel Aviv University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 563 (95,064)
Citation 2

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quantum majorization, portfolio risk, risk measures, order

7.

Exact Algorithms for the Multinomial Counts: Maximum, Minimum, Range and Sums of the Largest Order Statistics

Number of pages: 22 Posted: 29 Sep 2017 Last Revised: 10 Jun 2018
Marco Bonetti, Pasquale Cirillo and Anton Ogay
Bocconi University - Department of Social and Political Sciences, ZHAW School of Management and Law and Delft University of Technology
Downloads 553 (97,225)

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Multinomial Order Statistics, Exact Algorithm, Maximum, Minimum, Range

8.

An alarm system for market crashes using quantum majorization

Number of pages: 26 Posted: 02 Feb 2022 Last Revised: 05 Aug 2022
J Montana, Luis Antonio Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Netherlands Organisation for Scientific Research - Centrum Wiskunde & Informatica, Utrecht University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 519 (105,069)

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Quantum majorization, correlation matrix, portfolio risk, forecasting, financial crash

9.

A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims

Number of pages: 23 Posted: 27 Apr 2022 Last Revised: 28 Mar 2024
Peter Carr and Pasquale Cirillo
New York University Finance and Risk Engineering and ZHAW School of Management and Law
Downloads 476 (116,668)

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memoryless, contingent claim, pseudosum.

10.

A Reinforced Urn Process Modeling of Recovery Rates and Recovery Times

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 18 Jul 2017 Last Revised: 21 Aug 2018
Dan Cheng, Dan Cheng and Pasquale Cirillo
Delft University of TechnologyDelft Institute of Applied Mathematics (DIAM) and ZHAW School of Management and Law
Downloads 403 (141,749)
Citation 5

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Loss-Given-Default, Recovery Rate, Reinforced Urn Process (RUP), Survival Analysis

11.

A Urn-Based Nonparametric Modeling of the Dependence Between PD and LGD with an Application to Mortgages

Number of pages: 19 Posted: 25 Apr 2019
Dan Cheng, Dan Cheng and Pasquale Cirillo
Delft University of TechnologyDelft Institute of Applied Mathematics (DIAM) and ZHAW School of Management and Law
Downloads 375 (153,759)
Citation 2

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Probability of Default, Loss Given Default, Wrong-Way Risk, Dependence, Urn Model

12.

Gini Estimation Under Infinite Variance

Number of pages: 22 Posted: 21 Jul 2017 Last Revised: 22 Dec 2017
Andrea Fontanari, Nassim Nicholas Taleb and Pasquale Cirillo
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), New York University (NYU) - NYU Tandon School of Engineering and ZHAW School of Management and Law
Downloads 355 (163,282)
Citation 2

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Gini index; inequality measure; size distribution; extremes; α-stable distribution

13.

THE HESTON-QUEUE-HAWKES PROCESS: A NEW SELF-EXCITING JUMP-DIFFUSION MODEL FOR OPTIONS PRICING, AND AN EXTENSION OF THE COS METHOD FOR DISCRETE DISTRIBUTIONS A PREPRINT

Number of pages: 25 Posted: 01 Jun 2022 Last Revised: 24 Jul 2024
Luis Antonio Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Utrecht University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 292 (200,994)
Citation 1

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Jump clustering, Queue-Hawkes process, COS method, Bermudan option, Volatility smile

14.

Lorenz-Generated Bivariate Archimedean Copulas

Number of pages: 22 Posted: 07 Jun 2019 Last Revised: 26 Jun 2020
Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 237 (247,769)
Citation 1

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Copula, Lorenz Curve, Lorenz Copula, Kendall's tau, Generator

15.

AIDA: Analytic Isolation and Distance-based Anomaly Detection Algorithm

Number of pages: 35 Posted: 29 Mar 2023
Luis Antonio Souto Arias, Cornelis W. Oosterlee and Pasquale Cirillo
Utrecht University, Utrecht University - Faculty of Science and ZHAW School of Management and Law
Downloads 234 (250,749)

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Outlier detection, Anomaly explanation, Isolation, Distance, Ensemble methods

16.

Estimation of Reinforced Urn Processes Under Left-truncation and Right-censoring

Number of pages: 22 Posted: 03 Jun 2020 Last Revised: 20 Sep 2022
Luis Antonio Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Utrecht University, ZHAW School of Management and Law and Utrecht University - Faculty of Science
Downloads 211 (276,431)

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Reinforced Urn Process, Expectation-Maximization, Bivariate survival function, Left-truncation, Right-Censoring

17.

Joint and Survivor Annuity Valuation with a Bivariate Reinforced Urn Process

Insurance: Mathematics and Economics, Vol. 99, 2021, 174-189.
Number of pages: 23 Posted: 02 Sep 2020 Last Revised: 22 Apr 2021
Luis Antonio Souto Arias and Pasquale Cirillo
Utrecht University and ZHAW School of Management and Law
Downloads 202 (287,824)

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urn process, joint distribution, annuity, mortality

Other Papers (1)

Total Downloads: 77
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1.

A note on the view of the Pickands dependence function as a Lorenz curve

Number of pages: 13 Posted: 18 Nov 2021
Andrea Fontanari and Pasquale Cirillo
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM) and ZHAW School of Management and Law
Downloads 77 (589,475)

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Extremal copula, Pickands function, Lorenz Curve, Inequality Indices