The Logic of Risk
 <i>Non scholae,</i><i>sed vitae</i>
 <i>Non scholae,</i><i>sed vitae</i>
  • © 2020 Pasquale Cirillo 0

Non scholae,sed vitae

What do I like to study?

My research interests lie at the intersection of probability, statistics and risk theory. Extreme values, tail risk and small probability events are my daily bread.

An important field of application of my studies is quantitative risk management. For instance, I like to work with credit risk (PD, LGD, CVA, recovery processes), operational losses and dependence modeling. My approach combines tools from extreme value theory, inequality studies, distortion measures and combinatorics.

Since my PhD studies, I have been investigating combinatorial stochastic processes, and urn models in particular, studying their properties, and applying them to very different fields, from fatigue analysis to risk management. Using urns, I have worked on alarm systems, as well as on alternative machine learning approaches.

Over the years I have also performed several empirical analyses, from the study of size distributions in industrial dynamics, to the tail risk of armed conflicts and the distribution of war casualties. More details can be found in my publications here below.

Publications

For my latest works, you can visit my SSRN page.

Peer-reviewed papers

Books and chapters in books

  • D. Delli Gatti, S. Desiderio, E. Gaffeo, P. Cirillo, M. Gallegati (2011). Macroeconomics from the bottom up. Springer
  • N.N. Taleb, P. Cirillo (2019). The decline of violent conflicts: what do the data really say? In: The Causes of Peace, A. Toje, and B.N.V. Steen (eds). The Norwegian Nobel Institute, 57-86
  • N.N. Taleb, P. Cirillo (2018). On the Shadow Moments of Apparently Infinite-Mean Phenomena. In: Unifying Themes in Complex Systems IX, A. Morales, C. Gershenson, D. Braha, A. Minai, and Y. Bar-Yam (eds). Springer
  • P. Cirillo, J. Hüsler (2011). Shock models for defaults: parametric and nonparametric approaches. In: Nonparametric Statistics and Mixture Models, D. Hunter, J. Rosenberger, and D. Richards (eds). World Scientific Press, 90-113

Others

Academic Grants

  • 2019-2022: European Union H2020—Marie Curie ITN EID (Nr. 813261). Project: “Valuation Adjustments for Improved Risk Management”. Joint with C.W. Oosterlee (CWI, NL), A. Pascucci (Unibo, IT), C. Vazquez Cendon (UDC, ES), G. Deestra (ULB, BE). Amount: €1.6 million
  • 2015-2020: Chinese Scholarship Council Grant (1 PhD position financed). Project: “Urn and jump processes for modeling dependence and rating transitions in the field of credit risk”. Amount: €300’000
  • 2015-2018: European Union H2020—Marie Curie ITN EID (Nr. 643045). Project: “New risk measures for market and credit risk”. Joint with C.W. Oosterlee (CWI, NL), A. Pascucci (Unibo, IT), C. Vazquez Cendon (UDC, ES). Amount: €1.5 million
  • 2013-2017: European Union FP7—Marie Curie Career Integration Grant. Project: “When bad things come together: multivariate shocks, interacting risks and their applications in economics”. Amount: €100’000

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