Articles by Filippo Curti
Cyber risk definition and classification for financial risk management
The authors put forward a definition and classification scheme for cyber risk than can be used as a template for data collection by financial institutions.
The information value of past losses in operational risk
The authors argue that past operational losses inform future losses at banks and that the information provided by past losses results from their capturing factors that are hard to quantify in other tests.
Benchmarking operational risk stress testing models
This paper outlines several approaches to benchmarking operational loss projections under stressed scenarios using both accounting metrics and historical loss experience.
Calculate tail quantiles of compound distributions
In this paper the authors evaluate the performance of different approaches for estimating quantiles of compound distributions, which are widely used for risk quantification in the banking and insurance industries.