Filippo Curti

Federal Reserve Banks - Quantitative Supervision & Research

United States

SCHOLARLY PAPERS

14

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2,643

SSRN CITATIONS
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Top 31,798

in Total Papers Citations

12

CROSSREF CITATIONS

15

Scholarly Papers (14)

1.
Downloads 383 ( 97,980)
Citation 2

Benchmarking Operational Risk Models

Number of pages: 27 Posted: 03 Mar 2016
Federal Reserve Banks - Quantitative Supervision & Research, Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 275 (139,707)

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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 - Quantitative Supervision & Research, Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 108 (314,583)

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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 - Quantitative Supervision & Research and Board of Governors of the Federal Reserve System
Downloads 210 (182,321)
Citation 2

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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 - Quantitative Supervision & Research and Board of Governors of the Federal Reserve System
Downloads 117 (297,110)

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

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 - Quantitative Supervision & Research, University of Kansas - School of Business and Federal Reserve Bank of Dallas
Downloads 258 (149,155)

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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 Banks - Quantitative Supervision & Research, affiliation not provided to SSRN and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 38 (545,060)

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

4.

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

Number of pages: 63 Posted: 31 Jul 2018 Last Revised: 11 Jan 2021
University of South Carolina - Darla Moore School of Business, Federal Reserve Banks - Quantitative Supervision & Research, University of Kansas - School of Business and Villanova University - Department of Finance
Downloads 262 (147,448)
Citation 2

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Banking, Operational Risk, Systemic Risk

5.

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 - Quantitative Supervision & Research
Downloads 260 (148,534)
Citation 11

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Operational risk, Banking Capital, Stress testing, Loss scaling

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 - Quantitative Supervision & Research, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 179 (210,789)

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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 - Quantitative Supervision & Research, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Chicago
Downloads 57 (458,970)

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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 Banks - Quantitative Supervision & Research, Board of Governors of the Federal Reserve System and affiliation not provided to SSRN
Downloads 1 (829,408)
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operational risk; stress testing; benchmarking; model risk; model validation.

7.

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

Journal of Money, Credit and Banking
Number of pages: 51 Posted: 26 Feb 2016 Last Revised: 21 Jul 2021
Atanas Mihov, Filippo Curti and Azamat Abdymomunov
University of Kansas - School of Business, Federal Reserve Banks - Quantitative Supervision & Research and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 206 (185,773)
Citation 7

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

8.

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

Number of pages: 55 Posted: 18 Feb 2021 Last Revised: 07 Apr 2021
Filippo Curti and Sophia Kazinnik
Federal Reserve Banks - Quantitative Supervision & Research and Federal Reserve Banks - Quantitative Supervision & Research
Downloads 200 (190,991)

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Central Bank Communication, Facial Recognition, Video, Market Expectations

9.

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 Banks - Quantitative Supervision & Research and Board of Governors of the Federal Reserve System
Downloads 146 (250,050)
Citation 1

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Banking, Operational Risk, Risk Management

10.

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 Banks - Quantitative Supervision & Research and University of Kansas - School of Business
Downloads 130 (273,659)

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

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 - Quantitative Supervision & Research and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 79 (380,857)

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Panjer Recursion, Monte Carlo, Single Loss Approximation

12.

Fraud Recovery and the Quality of Country Governance

Number of pages: 59 Posted: 23 Sep 2017
Filippo Curti and Atanas Mihov
Federal Reserve Banks - Quantitative Supervision & Research and University of Kansas - School of Business
Downloads 67 (417,129)

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

13.

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

Number of pages: 58 Posted: 01 Feb 2021
Filippo Curti, Larry Fauver and Atanas Mihov
Federal Reserve Banks - Quantitative Supervision & Research, University of Tennessee, Knoxville - Department of Finance and University of Kansas - School of Business
Downloads 48 (487,432)

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

14.

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 - Quantitative Supervision & Research and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 2 (781,666)
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compound distributions, fast Fourier transform (FFT), Monte Carlo, perturbative expansion correction (PEC), single-loss approximation (SLA)