Filippo Curti

Federal Reserve Bank of Richmond - Quantitative Supervision & Research

530 E Trade St

Charlotte, NC 28202

United States

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 16,554

SSRN RANKINGS

Top 16,554

in Total Papers Downloads

5,607

SSRN CITATIONS
Rank 15,334

SSRN RANKINGS

Top 15,334

in Total Papers Citations

72

CROSSREF CITATIONS

21

Scholarly Papers (24)

1.

Let's Face It: Quantifying the Impact of Nonverbal Communication in FOMC Press Conferences

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 45 Posted: 18 Feb 2021 Last Revised: 25 Apr 2023
Filippo Curti and Sophia Kazinnik
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Banks - Quantitative Supervision & Research
Downloads 914 (47,972)

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Central Bank Communication, Facial Recognition, Video, Market Expectations

2.

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

Journal of Banking & Finance, forthcoming
Number of pages: 71 Posted: 31 Jul 2018 Last Revised: 12 Jul 2022
University of South Carolina - Darla Moore School of Business, Federal Reserve Bank of Richmond - Quantitative Supervision & Research, University of Kansas and Villanova University - Department of Finance
Downloads 549 (93,340)
Citation 15

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Banking, Operational Risk, Systemic Risk

3.
Downloads 501 (104,513)
Citation 2

Benchmarking Operational Risk Models

Number of pages: 27 Posted: 03 Mar 2016
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 338 (162,892)

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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 Bank of Richmond - Quantitative Supervision & Research, Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 163 (331,570)

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Banking Regulation, Benchmarking, Operational Risk, Risk Management

Are the Largest Banking Organizations Operationally More Risky?

Journal of Money, Credit and Banking, forthcoming
Number of pages: 65 Posted: 29 Jul 2018 Last Revised: 07 Sep 2022
Filippo Curti, Atanas Mihov and W. Scott Frame
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, University of Kansas and Structured Finance Association
Downloads 405 (132,992)

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

Are the Largest Banking Organizations Operationally More Risky?

FRB of Dallas Working Paper No. 2016
Number of pages: 50 Posted: 01 Jun 2020
Filippo Curti, W. Scott Frame and Atanas Mihov
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, affiliation not provided to SSRN and University of Kansas
Downloads 74 (588,072)

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Banking organizations, Size, Operational risk, Tail risk, Recessions

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 Bank of Richmond - Quantitative Supervision & Research and Board of Governors of the Federal Reserve System
Downloads 259 (215,189)
Citation 3

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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 Bank of Richmond - Quantitative Supervision & Research and Board of Governors of the Federal Reserve System
Downloads 168 (322,915)

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

6.

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 Bank of Richmond - Quantitative Supervision & Research
Downloads 335 (165,681)
Citation 13

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Operational risk, Banking Capital, Stress testing, Loss scaling

7.

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

Journal of Money, Credit, and Banking, 2020, 52:115-144
Number of pages: 51 Posted: 26 Feb 2016 Last Revised: 26 Mar 2022
Atanas Mihov, Filippo Curti and Azamat Abdymomunov
University of Kansas, Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 333 (166,761)
Citation 7

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

The Information Value of Past Losses in Operational Risk

Number of pages: 47 Posted: 08 Apr 2019 Last Revised: 21 Jan 2021
Filippo Curti and Marco Migueis
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Board of Governors of the Federal Reserve System
Downloads 238 (234,116)
Citation 1

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Banking, Operational Risk, Risk Management

The Information Value of Past Losses in Operational Risk

FEDS Working Paper No. 2023-3
Number of pages: 49 Posted: 26 Jan 2023
Filippo Curti and Marco Migueis
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Board of Governors of the Federal Reserve System
Downloads 55 (688,537)

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Banking, Operational risk, Risk management

The Information Value of Past Losses in Operational Risk

Journal of Operational Risk, Vol. 18, No. 2, 2023
Number of pages: 36 Posted: 12 Jun 2023
Filippo Curti and Marco Migueis
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Board of Governors of the Federal Reserve System
Downloads 1 (1,157,277)
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banking, operational risk, risk management, risk modeling, regulatory requirements

Climate Risks in the U.S. Banking Sector: Evidence from Operational Losses and Extreme Storms

Number of pages: 61 Posted: 11 Dec 2022
University of South Carolina - Darla Moore School of Business, Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Federal Reserve Banks - Federal Reserve Bank of Richmond, University of Kansas and Federal Reserve Bank of Philadelphia
Downloads 227 (245,129)

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Operational Losses, Banking, Bank Holding Companies, Natural Disasters, Climate Risk, Hurricanes, Tornadoes, Severe Thunderstorms

Climate Risks in the U.S. Banking Sector: Evidence from Operational Losses and Extreme Storms

FRB of Philadelphia Working Paper No. 21-31
Number of pages: 62 Posted: 20 Dec 2023
University of South Carolina - Darla Moore School of Business, Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Federal Reserve Banks - Federal Reserve Bank of Richmond, University of Kansas and Federal Reserve Bank of Philadelphia
Downloads 55 (688,537)

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Operational Losses, Banking, Bank Holding Companies, Natural Disasters, Climate Risk, Hurricanes, Tornadoes, Severe Thunderstorms

10.
Downloads 282 (198,603)
Citation 1

Benchmarking Operational Risk Stress Testing Models

Number of pages: 16 Posted: 24 Dec 2018
Filippo Curti, Marco Migueis and Rob T Stewart
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 204 (271,049)

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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 Bank of Richmond - Quantitative Supervision & Research, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 77 (574,338)

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Benchmarking, Operational Risk, Stress Testing

Benchmarking Operational Risk Stress Testing Models

Journal of Operational Risk, Vol. 15, No. 2
Number of pages: 16 Posted: 08 Feb 2021
Filippo Curti, Marco Migueis and Robert Stewart
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Board of Governors of the Federal Reserve System and affiliation not provided to SSRN
Downloads 1 (1,157,277)
Citation 1
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operational risk; stress testing; benchmarking; model risk; model validation.

11.

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

Number of pages: 65 Posted: 08 Mar 2020 Last Revised: 12 Apr 2021
Filippo Curti and Atanas Mihov
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and University of Kansas
Downloads 267 (209,908)
Citation 1

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

12.

City Hall Has Been Hacked! The Financial Costs of Lax Cybersecurity

Number of pages: 47 Posted: 02 Jun 2023 Last Revised: 13 Oct 2023
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Federal Reserve Bank of Chicago, Isenberg School of Management and University of Cologne
Downloads 188 (292,716)
Citation 2

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Cyberattacks, financing costs, municipal debt, cybersecurity regulation.

13.

Stolen Secrets: The Effect of Trade Secret Theft on Corporate Innovation

Number of pages: 48 Posted: 14 Nov 2023
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Isenberg School of Management, University of Kansas and University of Kansas - School of Business
Downloads 184 (298,181)

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IP Theft, Trade Secret Theft, Economic Espionage, Innovation, Knowledge Creation.

14.

Workforce Policies and Operational Risk: Evidence from U.S. Bank Holding Companies

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 68 Posted: 01 Feb 2021 Last Revised: 19 May 2022
Filippo Curti, Larry Fauver and Atanas Mihov
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, University of Tennessee, Knoxville - Department of Finance and University of Kansas
Downloads 143 (369,312)
Citation 8

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Banking; Bank Holding Companies; Operational Risk; Workforce Policies; Corporate Social Responsibility

15.

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 Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 94 (502,440)

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Panjer Recursion, Monte Carlo, Single Loss Approximation

16.

Improving Data for Managing Cyber Risk and Building Resilience

Number of pages: 43 Posted: 26 Oct 2023
Federal Reserve Banks - Quantitative Supervision & Research, Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Federal Reserve Bank of Richmond and Government of the United States of America - Office of Financial Research
Downloads 91 (512,919)

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Cyber risk, operational risk, cyber losses, systemic risk, cyber risk management, enterprise risk management

17.

Fraud Recovery and the Quality of Country Governance

Journal of Banking and Finance, Vol. 87, 2018
Number of pages: 59 Posted: 23 Sep 2017 Last Revised: 07 Mar 2022
Filippo Curti and Atanas Mihov
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and University of Kansas
Downloads 91 (512,919)

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

18.

A Framework for Evaluating Banks' Resilience in a Rising Interest Rate Environment

Number of pages: 65 Posted: 05 Apr 2024
Filippo Curti and Jeffrey R. Gerlach
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Bank of Richmond
Downloads 67 (612,091)

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Banking, Bank Holding Companies, Bank Run, Funding, Deposits, Stress-Testing

19.

Easy on the Eye: Central Bank Communication and Website Characteristics

Number of pages: 54 Posted: 10 Oct 2022
Sophia Kazinnik and Filippo Curti
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Bank of Richmond - Quantitative Supervision & Research
Downloads 39 (778,247)

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Central Bank Communication, Transparency, Credibility, Alternative Data, Surveys

20.

Central Bank Communication and Website Characteristics

Journal of Economic Behavior and Organization, Vol. 212, No. August, 2023
Number of pages: 62 Posted: 09 Aug 2023
Filippo Curti and Sophia Kazinnik
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Banks - Quantitative Supervision & Research
Downloads 27 (874,482)

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Central Bank Communication, Transparency, Credibility, Alternative Data, Visual Presentation, User Experience, Surveys

21.

Fraud Recovery and Country Governance: Evidence from Operational Losses of U.S. Bank Holding Companies

Number of pages: 43 Posted: 16 Dec 2015
Filippo Curti and Atanas Mihov
Federal Reserve Bank of Richmond - Quantitative Supervision & Research and University of Kansas
Downloads 11 (1,029,536)

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Fraud, Recovery, Operational risk, Risk management, International markets, Banking, Country governance

22.

Does Media Sentiment Influence Bank Supervision?

Number of pages: 51
Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond - Quantitative Supervision & Research, Federal Reserve Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Banks - Quantitative Supervision & Research
Downloads 6

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Media Sentiment, Bank Holding Companies (BHCs), Bank Supervision, Supervisory Ratings, Financial News, Natural Language Processing (NLP)

23.

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 Bank of Richmond - Quantitative Supervision & Research and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 2 (1,103,028)
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compound distributions, fast Fourier transform (FFT), Monte Carlo, perturbative expansion correction (PEC), single-loss approximation (SLA)

24.

Cyber risk definition and classification for financial risk management

Journal of Operational Risk, Vol. 18, No. 2, 2023
Number of pages: 22 Posted: 12 Jun 2023
Federal Reserve Bank of Richmond - Quantitative Supervision & Research, College of William and Mary - Department of Economics, Federal Reserve Banks - Quantitative Supervision & Research, Federal Reserve Banks - Federal Reserve Bank of New York and University of Kansas
Downloads 1 (1,110,612)
Citation 2
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operational risk, nonfinancial risk, cyber risk, risk measurement, banking, data collection