Dr. Pasquale Cirillo



Research
My research is mainly related to risk theory and management. I like to work on topics like alarm systems, catastrophe prediction, modeling of extremes, shock and default models — most of the times with applications in economics and finance, as for market, credit, operational and sanitary risk. Very recently also terrorism risk.
Another important part of my research work involves
urn models and combinatorial stochastic processes, which I like for their powerful probabilistic properties and the possibility of having a constructive approach to probability.
Finally, I have a great interest for
scaling laws in economics and the validation of agent-based models.
I am not the kind of guy always doing the same old stuff. Sorry.



Recent research projects

  • 2019-2022: Marie Curie ITN EID: Valuation Adjustments for Improved Risk Management, together with colleagues from CWI, Università di Bologna, Universidade da Coruña, Ernst & Young, etc.
  • 2015-2019: Marie Curie ITN EID: WakeUpCall, together with colleagues from CWI, Università di Bologna, Universidade da Coruña, Ernst & Young, etc.
  • 2013-2017: Marie Curie CIG: “When bad things come together: multivariate shocks, interacting risks and their applications in economics”. Within this project I coordinated and organized many activities, such as for example a very interesting (at least for me) workshop on multivariate extremes and risks.
  • 2012-2014: Sanitary Risk Assessment, joint with Bocconi University, SDA School of Managament, AON, Marsh and Willis.
One application has been recently submitted. Fingers crossed.


Recent Publications


For a complete list of publications, including
working papers and non academic publications, feel free to download it by clicking on the pdf icon on the right.
PDF

If you need some pre-print of my articles, feel free to
contact me.


Books

  • Delli Gatti D., Desiderio S., Gaffeo E., Cirillo P., Gallegati M., 2011. Macroeconomics from the bottom up. Springer. (Monograph)
  • Taleb N.N., Cirillo P., forthcoming. Fat-Tails: The Logic and Statistics of Extremes. Penguin.


PhD Students

At present I am supervising two PhD students:
  • Ms. Dan Cheng, working on urn models for credit risk (PD, LGD, etc.), joint with Frank Redig.
  • Mr. Andrea Fontanari, focusing on new risk measures beyond VaR, joint with Kees Oosterlee.
  • Mr. Shuaiqiang Liu, studying the use data-driven hedging strategies, joint with Kees Oosterlee.
Please notice that I cannot accept solicitations for PhD and research positions. For opportunities at TU Delft, please visit this website.


Conferences and Seminars

I am not that sadistic, I will not bother you with the very boring list of the conferences, workshops and seminars I attended as a speaker. If you really like to know, feel free to
contact me.
But I would be very happy if you could visit the website of the conference I have co-organized:
EVA 2017 (June 26-30, 2017). It was great!

© 2018 Dr. Pasquale Cirillo