Filippo Curti

Federal Reserve Banks - Federal Reserve Bank of Richmond

P.O. Box 27622

Richmond, VA 23261

United States

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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Top 37,351

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2

CROSSREF CITATIONS

14

Scholarly Papers (12)

1.
Downloads 350 ( 88,412)
Citation 2

Benchmarking Operational Risk Models

Number of pages: 27 Posted: 03 Mar 2016
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Federal Reserve Board and Federal Reserve Bank of Chicago
Downloads 268 (117,648)

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Banking Regulation, Risk Management, Operational Risk, Benchmarking

Benchmarking Operational Risk Models

FEDS Working Paper No. 2016-070
Number of pages: 28 Posted: 25 Aug 2016
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Federal Reserve Board and Federal Reserve Bank of Chicago
Downloads 82 (314,692)

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Banking Regulation, Benchmarking, Operational Risk, Risk Management

Predicting Operational Loss Exposure Using Past Losses

Number of pages: 52 Posted: 05 May 2016 Last Revised: 23 Aug 2018
Filippo Curti and Marco Migueis
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Board
Downloads 179 (174,422)
Citation 1

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Banking Regulation, Risk Management, Operational Risk, Tail Risk, Quantile Regression

Predicting Operational Loss Exposure Using Past Losses

FEDS Working Paper No. 2016-2
Number of pages: 50 Posted: 04 Feb 2016
Filippo Curti and Marco Migueis
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Board
Downloads 114 (252,270)

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Banking Regulation, Risk Management, Operational Risk, Tail Risk, Quantile Regression

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 216 (146,683)
Citation 9

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Operational risk, Banking Capital, Stress testing, Loss scaling

4.

Are the Largest Banking Organizations Operationally More Risky?

Number of pages: 49 Posted: 29 Jul 2018 Last Revised: 26 Jun 2019
Filippo Curti, Atanas Mihov and W. Scott Frame
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond and Federal Reserve Bank of Dallas
Downloads 215 (147,293)

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banking organizations, size, operational risk, tail risk, recessions

Benchmarking Operational Risk Stress Testing Models

Number of pages: 16 Posted: 24 Dec 2018
Filippo Curti, Marco Migueis and Rob T Stewart
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Board and Federal Reserve Bank of Chicago
Downloads 161 (191,325)

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Operational Risk, Stress Testing, Benchmarking

Benchmarking Operational Risk Stress Testing Models

FEDS Working Paper No. 2019-038
Number of pages: 17 Posted: 17 Jul 2019
Filippo Curti, Marco Migueis and Rob T Stewart
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Board and Federal Reserve Bank of Chicago
Downloads 22 (546,485)

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Benchmarking, Operational Risk, Stress Testing

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 132 (226,355)
Citation 2

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

7.

Operational Risk Is More Systemic than You Think: Evidence from U.S. Bank Holding Companies

Number of pages: 60 Posted: 31 Jul 2018 Last Revised: 14 Jan 2020
University of South Carolina - Darla Moore School of Business, Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond and Villanova University - Department of Finance
Downloads 129 (229,013)
Citation 1

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Banking, Operational Risk, Systemic Risk

8.

The Information Value of Past Losses in Operational Risk

Number of pages: 42 Posted: 08 Apr 2019
Filippo Curti and Marco Migueis
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Board
Downloads 98 (278,723)

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Banking, Operational Risk, Risk Management

9.

Fraud Recovery and the Quality of Country Governance

Number of pages: 59 Posted: 23 Sep 2017
Filippo Curti and Atanas Mihov
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Bank of Richmond
Downloads 59 (372,944)

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Crime; Fraud; Recovery; International markets; Banking; Country institutions; Governance

10.

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 56 (382,512)

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Panjer Recursion, Monte Carlo, Single Loss Approximation

11.

Calculate Tail Quantiles of Compound Distributions

Journal of Computational Finance, Vol. 22, No. 5, 2019
Number of pages: 30 Posted: 02 May 2019
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 1 (674,608)
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compound distributions, fast Fourier transform (FFT), Monte Carlo, perturbative expansion correction (PEC), single-loss approximation (SLA)

12.

Catch the Thief! Fraud in the U.S. Banking Industry

Number of pages: 68
Atanas Mihov and Filippo Curti
Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 0

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Banking; Bank Holding Companies; Fraud; Operational Risk; Credit Intermediation