Azamat Abdymomunov

Federal Reserve Banks - Federal Reserve Bank of Richmond

P.O. Box 27622

Richmond, VA 23261

United States

SCHOLARLY PAPERS

12

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1,833

SSRN CITATIONS
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SSRN RANKINGS

Top 27,501

in Total Papers Citations

7

CROSSREF CITATIONS

17

Scholarly Papers (12)

1.

Integrating Stress Scenarios into Risk Quantification Models

Number of pages: 33 Posted: 19 Jun 2011 Last Revised: 23 Apr 2014
Azamat Abdymomunov, Sharon K. Blei and Bakhodir Ergashev
Federal Reserve Banks - Federal Reserve Bank of Richmond, Fedral Reserve Bank of Richmond and EY
Downloads 576 (46,645)
Citation 2

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Stress test, Scenarios, VaR, Interest rate risk, Operational risk, Credit risk

2.

Banking Sector Operational Losses and Macroeconomic Environment

Number of pages: 22 Posted: 03 Oct 2014
Azamat Abdymomunov
Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 229 (134,489)
Citation 5

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Operational risk, Basel II, Stress testing

3.

Quantifying and Stress Testing Operational Risk with Peer Banks' Data

Number of pages: 52 Posted: 25 Jun 2015 Last Revised: 19 Apr 2019
Azamat Abdymomunov and Filippo Curti
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 204 (150,157)
Citation 9

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Operational risk, Banking Capital, Stress testing, Loss scaling

4.

Correlations and Systemic Risk in Operational Losses of the U.S. Banking Industry

Number of pages: 26 Posted: 04 Mar 2016
Azamat Abdymomunov and Ibrahim Ergen
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 193 (158,222)

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Operational Risk, Bank, Systemic risk, Dependence, Copula

5.

Operational Risk and Risk Management Quality: Evidence from U.S. Bank Holding Companies

Number of pages: 38 Posted: 26 Feb 2016
Azamat Abdymomunov and Atanas Mihov
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Bank of Richmond
Downloads 163 (183,580)
Citation 3

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Large Financial Institutions; Banks; Risk; Operational risk; Risk Management; Financial Crisis

6.

U.S. Banking Sector Operational Losses and the Macroeconomic Environment

Number of pages: 50 Posted: 26 Feb 2016 Last Revised: 20 Sep 2017
Atanas Mihov, Filippo Curti and Azamat Abdymomunov
Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 117 (239,297)
Citation 2

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Operational Risk; Operational Losses; Macroeconomic Environment; Banking Sector; Stress Testing

7.

Forecasting the Term Structure of Government Bond Yields Using Credit Spreads and Structural Breaks

Bank of Korea WP 2014-19
Number of pages: 34 Posted: 28 Mar 2015
Azamat Abdymomunov, Kyu H. Kang and Ki Jeong Kim
Federal Reserve Banks - Federal Reserve Bank of Richmond, Korea University and The Bank of Korea
Downloads 83 (300,784)
Citation 1

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Out-of-sample forecasting, term structure, credit spread, Nelson-Siegel model, Bayesian MCMC estimation

8.

The Effects of Monetary Policy Regime Shifts on the Term Structure of Interest Rates

Number of pages: 41 Posted: 18 Dec 2011
Azamat Abdymomunov and Kyu Ho Kang
Federal Reserve Banks - Federal Reserve Bank of Richmond and affiliation not provided to SSRN
Downloads 78 (312,088)
Citation 2

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Term structure of interest rates, Affine no-arbitrage model, Markov switching process

9.

Regime-Switching Measure of Systemic Financial Stress

Number of pages: 16 Posted: 15 Dec 2011
Azamat Abdymomunov
Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 73 (324,248)

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Financial stress, Systemic risk, Regime-switching process, SWARCH

10.

Predicting Output Using the Entire Yield Curve

Number of pages: 26 Posted: 21 Jun 2011
Azamat Abdymomunov
Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 66 (342,335)
Citation 1

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Yield curve, Yield spread, Nelson-Seigel model, Forecasting

11.

Approaches to Calculate Tail Quantiles of Compound Distributions

Number of pages: 52 Posted: 13 Mar 2017
Azamat Abdymomunov, Filippo Curti and Hayden Kane
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 51 (387,929)

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Panjer Recursion, Monte Carlo, Single Loss Approximation

12.

Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry

International Review of Finance, Vol. 17, Issue 2, pp. 177-204, 2017
Number of pages: 28 Posted: 03 Jun 2017
Azamat Abdymomunov and Ibrahim Ergen
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 0 (674,029)
Citation 1
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