Pasquale Cirillo

Delft University of Technology

Stevinweg 1

Stevinweg 1

Delft, 2628 CN

Netherlands

Delft University of Technology - Delft Institute of Applied Mathematics (DIAM)

Mekelweg 4

Delft, Holland 2628

Netherlands

SCHOLARLY PAPERS

8

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CITATIONS

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Scholarly Papers (8)

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
Delft University of Technology and New York University (NYU) - Tandon School of Engineering
Downloads 3,797 (2,229)

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
Delft University of Technology and New York University (NYU) - Tandon School of Engineering
Downloads 1,449 (11,389)

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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
Delft University of Technology and New York University (NYU) - Tandon School of Engineering
Downloads 687 (34,335)

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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), Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 373 (74,421)

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

5.

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 Delft University of Technology
Downloads 286 (100,463)

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

6.

Modeling the Dependence between PD and LGD

Number of pages: 118 Posted: 09 Feb 2018
Pasquale Cirillo and Vittorio Maio
Delft University of Technology and Independent
Downloads 167 (168,600)

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

7.

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) - Tandon School of Engineering and Delft University of Technology
Downloads 156 (178,638)

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

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, Delft University of Technology and Delft University of Technology
Downloads 147 (187,673)

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