Pasquale Cirillo

ZHAW School of Management and Law

St.-Georgen-Platz 2

Winterthur, 8401

Switzerland

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 3,764

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12,375

SSRN CITATIONS
Rank 48,995

SSRN RANKINGS

Top 48,995

in Total Papers Citations

9

CROSSREF CITATIONS

4

Scholarly Papers (13)

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 6,634 (1,197)
Citation 3

Abstract:

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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 2,123 (8,364)
Citation 3

Abstract:

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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 764 (39,066)
Citation 3

Abstract:

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Risk, Extreme Value Theory, Black Swan, Violence

4.

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 Center for Mathematics and Computer Science (CWI)
Downloads 478 (71,545)
Citation 2

Abstract:

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

5.

Portfolio Risk and the Quantum Majorization of Correlation Matrices

Number of pages: 22 Posted: 12 Jan 2019 Last Revised: 10 Feb 2020
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), affiliation not provided to SSRN, ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 443 (78,377)
Citation 1

Abstract:

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quantum majorization, portfolio risk, risk measures, order

6.

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 and Pasquale Cirillo
Delft University of Technology and ZHAW School of Management and Law
Downloads 331 (109,597)
Citation 3

Abstract:

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

7.

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 329 (110,351)

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

8.

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 311 (117,241)

Abstract:

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

9.

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 and Pasquale Cirillo
Delft University of Technology and ZHAW School of Management and Law
Downloads 282 (130,014)
Citation 1

Abstract:

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

10.

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 268 (137,100)
Citation 2

Abstract:

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

11.

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 Center for Mathematics and Computer Science (CWI)
Downloads 185 (195,028)

Abstract:

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

12.

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 Souto Arias and Pasquale Cirillo
Center for Mathematics and Computer Science (CWI) and ZHAW School of Management and Law
Downloads 145 (239,542)

Abstract:

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urn process, joint distribution, annuity, mortality

13.

Estimation for Univariate and Bivariate Reinforced Urn Processes Under Left-Truncation and Right-Censoring

Number of pages: 27 Posted: 03 Jun 2020 Last Revised: 21 Oct 2020
Luis Souto Arias, Pasquale Cirillo and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 82 (355,795)

Abstract:

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Urn Process, Expectation-Maximization, Estimation