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.
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.
If you need some pre-print of my articles, feel free to contact me.
At present I am supervising two PhD students:
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!
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.
Recent Publications
- Cheng D., Cirillo P., 2018. A Reinforced Urn Process Modeling of Recovery Rates and Recovery Times. Journal of Banking and Finance 96, 1-17.
- Taleb N.N., Cirillo P., 2018. On the shadow moments of apparently infinite-mean phenomena. Unifying Themes in Complex Systems IX: Proceedings of the Ninth International Conference on Complex Systems, 155-164.
- Fontanari A., Taleb N.N., Cirillo P., 2018. Gini estimation under infinite variance. Physica A: Statistical Mechanics and its Applications 502, 256-269.
- Fontanari A., Cirillo P., Oosterlee C.W., 2018. From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions. Insurance: Mathematics and Economics 78, 13-29.
- Cirillo P., Taleb N.N., 2016. What are the chances of war? Significance 13(2), 44-45.
- Cirillo P., Taleb N.N., 2016. Expected shortfall estimation for apparently infinite-mean models of operational risk. Quantitative Finance 16(10), 1485-1494.
- Bonetti M., Cirillo P., Musile Tanzi P., Trinchero E., 2016. An analysis of the number of medical malpractice claims and their amounts. Plos ONE 0153362.
- Cirillo P., Taleb N.N., 2015. On the statistical properties and tail risk of violent conflicts. Physica A: Statistical Mechanics and its Applications 452, 29-45.
- Cirillo P., Redig F., Ruszel W., 2014. Duality and stationary distributions of wealth distribution models. Journal of Physics A: Mathematical and Theoretical 47, 085203.
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.
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.
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!
