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

6

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Scholarly Papers (6)

1.

Gini Estimation Under Infinite Variance

Number of pages: 24 Posted: 21 Jul 2017
Andrea Fontanari, Nassim Nicholas Taleb and Pasquale Cirillo
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), NYU-Tandon School of Engineering and Delft University of Technology
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Abstract:

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

2.

A Reinforced Urn Process Modeling of Recovery Rates and Recovery Times

Number of pages: 47 Posted: 18 Jul 2017 Last Revised: 19 Jul 2017
Dan Cheng and Pasquale Cirillo
Delft University of Technology and Delft University of Technology
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Abstract:

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

3.

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 NYU-Tandon School of Engineering
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Abstract:

4.

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

Number of pages: 37 Posted: 13 Oct 2016 Last Revised: 09 Jun 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)
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Abstract:

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

5.

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 NYU-Tandon School of Engineering
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Abstract:

Operational risk, Expected Shortfall, Infinite Mean, VaR

6.

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 NYU-Tandon School of Engineering
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Abstract:

Risk, Extreme Value Theory, Black Swan, Violence