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

11

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Scholarly Papers (11)

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) - NYU Tandon School of Engineering
Downloads 5,399 (1,265)

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) - NYU Tandon School of Engineering
Downloads 1,502 (11,237)

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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) - NYU Tandon School of Engineering
Downloads 708 (34,264)

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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 392 (72,725)

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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 301 (98,111)

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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: 53 Posted: 09 Feb 2018
Pasquale Cirillo and Vittorio Maio
Delft University of Technology and Independent
Downloads 191 (154,914)

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

7.

Portfolio Risk and the Quantum Majorization of Correlation Matrices

Number of pages: 19 Posted: 12 Jan 2019
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), affiliation not provided to SSRN, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 178 (165,035)

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quantum majorization, portfolio risk, risk measures, order

8.

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 Delft University of Technology
Downloads 177 (165,847)

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

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 Delft University of Technology
Downloads 168 (173,730)

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

10.

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 157 (184,033)

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

11.

Lorenz-Generated Bivariate Archimedean Copulas

Number of pages: 23
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 43

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