Filippo Curti

Federal Reserve Banks - Federal Reserve Bank of Richmond

P.O. Box 27622

Richmond, VA 23261

United States

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 29,238

SSRN RANKINGS

Top 29,238

in Total Papers Downloads

1,567

SSRN CITATIONS
Rank 38,418

SSRN RANKINGS

Top 38,418

in Total Papers Citations

0

CROSSREF CITATIONS

0

Scholarly Papers (11)

1.
Downloads 339 ( 88,224)
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 263 (115,552)

Abstract:

Loading...

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 76 (318,102)

Abstract:

Loading...

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 170 (176,119)
Citation 1

Abstract:

Loading...

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 110 (249,805)

Abstract:

Loading...

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 203 (149,807)
Citation 7

Abstract:

Loading...

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 196 (154,899)

Abstract:

Loading...

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 140 (207,484)

Abstract:

Loading...

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 14 (580,264)

Abstract:

Loading...

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 114 (242,246)
Citation 2

Abstract:

Loading...

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: 11 Jun 2019
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 95 (274,462)

Abstract:

Loading...

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 81 (303,288)

Abstract:

Loading...

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 55 (372,556)

Abstract:

Loading...

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 49 (392,204)

Abstract:

Loading...

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 (653,188)
  • Add to Cart

Abstract:

Loading...

compound distributions, fast Fourier transform (FFT), Monte Carlo, perturbative expansion correction (PEC), single-loss approximation (SLA)