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Details about Sirio Aramonte

Homepage:https://sites.google.com/site/sirioaramonte/home
Workplace:Bank for International Settlements (BIS), (more information at EDIRC)

Access statistics for papers by Sirio Aramonte.

Last updated 2022-03-11. Update your information in the RePEc Author Service.

Short-id: par562


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Working Papers

2022

  1. Non-bank Financial Intermediaries and Financial Stability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in BIS Working Papers, Bank for International Settlements (2021) Downloads

2021

  1. Firm-level R&D after periods of intense technological innovation: the role of investor sentiment
    BIS Working Papers, Bank for International Settlements Downloads
  2. Firm-specific risk-neutral distributions with options and CDS
    BIS Working Papers, Bank for International Settlements Downloads View citations (1)
  3. Futures-based commodity ETFs when storage is constrained
    BIS Bulletins, Bank for International Settlements Downloads

2020

  1. Corporate credit markets after the initial pandemic shock
    BIS Bulletins, Bank for International Settlements Downloads View citations (4)
  2. Monitoring the Liquidity Profile of Mutual Funds
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads
  3. The recent distress in corporate bond markets: cues from ETFs
    BIS Bulletins, Bank for International Settlements Downloads View citations (7)

2019

  1. Measuring the Liquidity Profile of Mutual Funds
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in International Journal of Central Banking (2020)

2017

  1. Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
  2. Synthetic ETFs
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads

2015

  1. Innovation, investor sentiment, and firm-level experimentation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  2. Institutions and return predictability in oil-exporting countries
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    See also Journal Article in The Quarterly Review of Economics and Finance (2019)
  3. Risk Taking and Low Longer-term Interest Rates: Evidence from the U.S. Syndicated Loan Market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (39)

2013

  1. Assessing and combining financial conditions indexes
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (11)
    See also Journal Article in International Journal of Central Banking (2017)

2011

  1. Dynamic factor value-at-risk for large, heteroskedastic portfolios
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)
    See also Journal Article in Journal of Banking & Finance (2013)

Journal Articles

2021

  1. DeFi risks and the decentralisation illusion
    BIS Quarterly Review, 2021 Downloads
  2. The rise of private markets
    BIS Quarterly Review, 2021 Downloads

2020

  1. Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets
    Journal of Financial Markets, 2020, 51, (C) Downloads
  2. Measuring the Liquidity Profile of Mutual Funds
    International Journal of Central Banking, 2020, 16, (5), 143-178 Downloads View citations (1)
    See also Working Paper (2019)
  3. Mind the buybacks, beware of the leverage
    BIS Quarterly Review, 2020 Downloads View citations (1)

2019

  1. Institutions and return predictability in oil-exporting countries
    The Quarterly Review of Economics and Finance, 2019, 71, (C), 14-26 Downloads View citations (1)
    See also Working Paper (2015)
  2. OTC derivatives: euro exposures rise and central clearing advances
    BIS Quarterly Review, 2019 Downloads View citations (5)

2017

  1. Assessing and Combining Financial Conditions Indexes
    International Journal of Central Banking, 2017, 13, (1), 1-52 Downloads View citations (6)
    See also Working Paper (2013)

2014

  1. Macroeconomic uncertainty and the cross-section of option returns
    Journal of Financial Markets, 2014, 21, (C), 25-49 Downloads

2013

  1. Dynamic factor Value-at-Risk for large heteroskedastic portfolios
    Journal of Banking & Finance, 2013, 37, (11), 4299-4309 Downloads View citations (14)
    See also Working Paper (2011)
 
Page updated 2022-05-18