Pasquale Cirillo

ZHAW School of Management and Law

St.-Georgen-Platz 2

Winterthur, 8401

Switzerland

SCHOLARLY PAPERS

16

DOWNLOADS
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13,987

SSRN CITATIONS
Rank 49,359

SSRN RANKINGS

Top 49,359

in Total Papers Citations

9

CROSSREF CITATIONS

4

Scholarly Papers (16)

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 7,205 (1,265)
Citation 5

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 2,252 (8,985)
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 777 (44,349)
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 507 (76,727)
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 486 (80,842)
Citation 2

Abstract:

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quantum majorization, portfolio risk, risk measures, order

6.

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 437 (91,612)

Abstract:

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

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 384 (106,417)

Abstract:

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

8.

A Quantum Majorization Alarm System for Market Crashes

Number of pages: 15 Posted: 02 Feb 2022
Netherlands Organisation for Scientific Research - Centrum Wiskunde & Informatica, Center for Mathematics and Computer Science (CWI), ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 367 (111,969)

Abstract:

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

9.

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 345 (119,772)
Citation 3

Abstract:

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

10.

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 307 (135,710)
Citation 1

Abstract:

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

11.

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 296 (140,983)
Citation 2

Abstract:

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

12.

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 198 (208,337)

Abstract:

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

13.

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 166 (242,597)

Abstract:

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urn process, joint distribution, annuity, mortality

14.

ABOUT THE ESTIMATION OF REINFORCED URN PROCESSES UNDER LEFT-TRUNCATION AND RIGHT-CENSORING

Number of pages: 26 Posted: 03 Jun 2020 Last Revised: 29 Nov 2021
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 116 (320,297)

Abstract:

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Urn Process, Expectation-Maximization, Expectation-Reinforcement, Left-truncation, Right-Censoring

15.

Bijections between [0,∞) and the support of a continuous probability law allow a generalized memoryless property

Number of pages: 18 Posted: 27 Apr 2022
Peter Carr and Pasquale Cirillo
New York University Finance and Risk Engineering and ZHAW School of Management and Law
Downloads 101 (352,006)

Abstract:

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memoryless, contingent claim, pseudosum.

16.

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 43 (545,072)

Abstract:

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Extremal copula, Pickands function, Lorenz Curve, Inequality Indices