Prof. Dr. Pasquale Cirillo
Prof. Dr. Pasquale Cirillo
ZHAW
School of Management and Law
Institute of Business Information Technology
Work at ZHAW
Position
- Professor of Data Science
- Director of the International CAS in Artificial Intelligence and Data Analysis
- DIZH Fellow
Focus
- Risk Modelling, in particular tail risk
- Quantitative risk management and financial mathematics
- Machine learning
- Applied probability (change of measure, urn models, etc.)
Teaching
- Machine Learning 1 (BSc)
- Machine Learning Using SAS Viya (BSc)
- Data Analysis with SAS (BSc)
- Machine Learning for Business (CAS)
- Applied Forecasting (CAS)
Professional development teaching
CAS Artificial Intelligence and Data Analysis
Experience
- Statistical Consultant
Freelance and for consulting companies
07 / 2012 - today - Associate Professor of Risk and Forecasting
University of Nicosia
08 / 2020 - 02 / 2021 - Assistant/Associate Professor of Applied Probability
Delft University of Technology
08 / 2012 - 07 / 2020 - Postdoc researcher in applied probability and statistics
University of Bern
04 / 2008 - 07 / 2012 - Researcher
The SAS Institute
05 / 2007 - 02 / 2008
Education and Continuing education
Education
- Habilitation / Applied Statistics
University of Bern
04 / 2008 - 07 / 2012 - PhD / Statistics
Bocconi University
09 / 2004 - 04 / 2008
Continuing Education
University Teaching Qualification for Mathematics (EWI-KO)
Delft University of Technology
03 / 2015
Network
Membership of networks
- Finance and Risk Engineering Department, New York University (NYU)
- SAS Educator
- Swiss Statistical Society
Awards
- DIZH Fellowship
DIZH
02 / 2024 - Project: ABC-EU-XVA
Marie Skłodowska-Curie Actions
09 / 2018 - Education Fellow
Delft University of Technology
01 / 2018 - Project: WakEUpCall
Marie Skłodowska-Curie Actions
12 / 2014 - Project: Multivariate Shocks
Marie Skłodowska-Curie Actions CIG
08 / 2013 - Premio Ultimo Novecento
Comune di Pisa e Sistema Universitario Pisano
07 / 2006
Social media
Media presence
Publications
-
Carr, Peter; Cirillo, Pasquale,
2024.
Royal Society Open Science.
11(4), pp. 231690.
Available from: https://doi.org/10.1098/rsos.231690
-
Souto Arias, Luis Antonio; Oosterlee, Cornelis W.; Cirillo, Pasquale,
2023.
AIDA : analytic isolation and distance-based anomaly detection algorithm.
Pattern Recognition.
141(109607).
Available from: https://doi.org/10.1016/j.patcog.2023.109607
-
Taleb, Nassim Nicholas; Bar-Yam, Yaneer; Cirillo, Pasquale,
2022.
On single point forecasts for fat-tailed variables.
International Journal of Forecasting.
38(2), pp. 413-422.
Available from: https://doi.org/10.1016/j.ijforecast.2020.08.008
-
Petropoulos, Fotios; Apiletti, Daniele; Assimakopoulos, Vassilios; Babai, Mohamed Zied; Barrow, Devon K.; Ben Taieb, Souhaib; Bergmeir, Christoph; Bessa, Ricardo J.; Bijak, Jakub; Boylan, John E.; Browell, Jethro; Carnevale, Claudio; Castle, Jennifer L.; Cirillo, Pasquale; Clements, Michael P.; Cordeiro, Clara; Cyrino Oliveira, Fernando Luiz; De Baets, Shari; Dokumentov, Alexander; Ellison, Joanne; Fiszeder, Piotr; Franses, Philip Hans; Frazier, David T.; Gilliland, Michael; Gönül, M. Sinan; Goodwin, Paul; Grossi, Luigi; Grushka-Cockayne, Yael; Guidolin, Mariangela; Guidolin, Massimo; Gunter, Ulrich; Guo, Xiaojia; Guseo, Renato; Harvey, Nigel; Hendry, David F.; Hollyman, Ross; Januschowski, Tim; Jeon, Jooyoung; Jose, Victor Richmond R.; Kang, Yanfei; Koehler, Anne B.; Kolassa, Stephan; Kourentzes, Nikolaos; Leva, Sonia; Li, Feng; Litsiou, Konstantia; Makridakis, Spyros; Martin, Gael M.; Martinez, Andrew B.; Meeran, Sheik; Modis, Theodore; Nikolopoulos, Konstantinos; Önkal, Dilek; Paccagnini, Alessia; Panagiotelis, Anastasios; Panapakidis, Ioannis; Pavía, Jose M.; Pedio, Manuela; Pedregal, Diego J.; Pinson, Pierre; Ramos, Patrícia; Rapach, David E.; Reade, J. James; Rostami-Tabar, Bahman; Rubaszek, Michał; Sermpinis, Georgios; Shang, Han Lin; Spiliotis, Evangelos; Syntetos, Aris A.; Talagala, Priyanga Dilini; Talagala, Thiyanga S.; Tashman, Len; Thomakos, Dimitrios; Thorarinsdottir, Thordis; Todini, Ezio; Trapero Arenas, Juan Ramón; Wang, Xiaoqian; Winkler, Robert L.; Yusupova, Alisa; Ziel, Florian,
2022.
Forecasting : theory and practice.
International Journal of Forecasting.
38(3), pp. 705-871.
Available from: https://doi.org/10.1016/j.ijforecast.2021.11.001
-
Souto Arias, Luis A.; Cirillo, Pasquale,
2021.
Joint and survivor annuity valuation with a bivariate reinforced urn process.
Insurance: Mathematics and Economics.
99, pp. 174-189.
Available from: https://doi.org/10.1016/j.insmatheco.2021.04.004
-
Cheng, Dan; Cirillo, Pasquale,
2019.
Risks.
7(3), pp. 76.
Available from: https://doi.org/10.3390/risks7030076
-
Souto Arias, Luis Antonio; Cirillo, Pasquale; Oosterlee, Cornelis W.,
2022.
A new self-exciting jump-diffusion process for option pricing.
SSRN.
Available from: https://doi.org/10.2139/ssrn.4118631
-
Montana, J.; Souto Arias, Luis A.; Cirillo, Pasquale; Oosterlee, Cornelis W.,
2022.
A quantum majorization alarm system for market crashes.
SSRN.
Available from: https://doi.org/10.2139/ssrn.3976131
-
Carr, Peter; Cirillo, Pasquale,
2022.
SSRN.
Available from: https://doi.org/10.2139/ssrn.4081193
-
Fontanari, Andrea; Cirillo, Pasquale,
2021.
A note on the view of the Pickands dependence function as a Lorenz curve.
SSRN.
Available from: https://doi.org/10.2139/ssrn.3938769
-
Cirillo, Pasquale; Feller, Anita; Hošek, Martin; Kuehni, Claudia; Lorez, Matthias; Michalopoulou, Eleftheria; Pfeiffer, Verena; Redmond, Shelagh; Roy, Elodie; Rüegger, Thomas; Spycher, Ben; Wagner, Ulrich; Weitkunat, Rolf,
2021.
Schweizerischer Krebsbericht 2021 : Stand und Entwicklungen.
Neuchâtel:
Bundesamt für Statistik (BFS).
ISBN 978-3-303-14333-9.
Available from: https://doi.org/10.21256/zhaw-23385
Publications before appointment at the ZHAW
For preprints and a full list of all my publications, please refer to my personal website.