Sirio Aramonte

Bank for International Settlements (BIS)

Centralbahnplatz 2

Basel, Basel-Stadt 4002

Switzerland

SCHOLARLY PAPERS

10

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1,154

SSRN CITATIONS
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Top 19,629

in Total Papers Citations

29

CROSSREF CITATIONS

18

Scholarly Papers (10)

Firm-Specific Risk-Neutral Distributions with Options and CDS

Number of pages: 55 Posted: 31 Jan 2017 Last Revised: 17 Jun 2019
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System, Temple University, Fox School of Business and Board of Governors of the Federal Reserve System
Downloads 205 (161,859)

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Risk Neutral Distributions, Investor Expectations, CDS Spreads

Firm-Specific Risk-Neutral Distributions: The Role of CDS Spreads

FRB International Finance Discussion Paper No. 1212
Number of pages: 62 Posted: 07 Sep 2017
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Temple University, Fox School of Business
Downloads 42 (461,621)

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Risk neutral distributions, CDS spreads, Cross-section of expected returns

Risk Taking and Low Longer-Term Interest Rates: Evidence from the U.S. Syndicated Loan Market

FEDS Working Paper No. 2015-068, http://dx.doi.org/10.17016/FEDS.2015.068
Number of pages: 45 Posted: 21 Sep 2015 Last Revised: 19 Jun 2017
Sirio Aramonte, Seung Jung Lee and Viktors Stebunovs
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 142 (223,460)
Citation 6

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Syndicated loans, Shared National Credit Program, Shadow banking, Zero lower bound, Search for yield, Risk-taking channel of monetary policy

Risk Taking and Low Longer-Term Interest Rates: Evidence from the U.S. Syndicated Term Loan Market

Journal of Banking and Finance, Forthcoming
Number of pages: 68 Posted: 28 Mar 2019
Sirio Aramonte, Seung Jung Lee and Viktors Stebunovs
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 34 (499,379)
Citation 13

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Syndicated Term Loans; Shared National Credit Program; Shadow Banking; Zero Lower Bound; Search for Yield; Risk-Taking Channel of Monetary Policy

Firm-level R&D After Periods of Intense Technological Innovation: The Role of Investor Sentiment

Number of pages: 44 Posted: 13 Sep 2013 Last Revised: 14 Oct 2018
Sirio Aramonte and Matthew Carl
Bank for International Settlements (BIS) and Board of Governors of the Federal Reserve System
Downloads 77 (342,785)

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Investor sentiment; technological innovation; R&D

Innovation, Investor Sentiment, and Firm-Level Experimentation

FEDS Working Paper No. 2015-067, http://dx.doi.org/10.17016/FEDS.2015.067
Number of pages: 47 Posted: 01 Sep 2015
Sirio Aramonte
Bank for International Settlements (BIS)
Downloads 62 (386,464)

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Investor sentiment, R&D, Technological innovation

4.

Dynamic Factor Value-at-Risk for Large Heteroskedastic Portfolios

FEDS Working Paper No. 2011-19
Number of pages: 35 Posted: 20 May 2011 Last Revised: 18 Nov 2012
Sirio Aramonte, Marius Rodriguez and Jason Wu
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority
Downloads 133 (234,920)
Citation 2

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Risk Management, Value-at-Risk, Dynamic Factor Models

5.

Macroeconomic Uncertainty and the Cross-Section of Option Returns

Number of pages: 43 Posted: 18 Nov 2012 Last Revised: 21 Nov 2012
Sirio Aramonte
Bank for International Settlements (BIS)
Downloads 105 (279,163)
Citation 1

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Option Pricing, Macroeconomic Uncertainty

6.
Downloads 103 (282,936)
Citation 3

Assessing and Combining Financial Conditions Indexes

Number of pages: 38 Posted: 24 May 2013
Sirio Aramonte, Samuel Rosen and John W. Schindler
Bank for International Settlements (BIS), Temple University, Fox School of Business and Board of Governors of the Federal Reserve System
Downloads 82 (330,040)
Citation 3

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Financial conditions indexes, stock returns predictability, forecasting

Assessing and Combining Financial Conditions Indexes

FEDS Working Paper No. 2013-39
Number of pages: 39 Posted: 31 May 2017
Sirio Aramonte, John W. Schindler and Samuel Rosen
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Temple University, Fox School of Business
Downloads 21 (578,790)
Citation 1

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7.

Institutions and Return Predictability in Oil-Exporting Countries

FEDS Working Paper No. 2015-014, http://dx.doi.org/10.17016/FEDS.2015.014
Number of pages: 31 Posted: 07 Apr 2015
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System (FRB)
Downloads 101 (286,648)

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Country studies, Quality of institutions, Return predictability

8.
Downloads 92 (304,494)
Citation 1

Measuring the Liquidity Profile of Mutual Funds

International Journal of Central Banking, Forthcoming
Number of pages: 41 Posted: 21 Mar 2018 Last Revised: 16 Jul 2019
Sirio Aramonte, Chiara Scotti and Ilknur Zer
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 60 (392,967)

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liquidity transformation, asset management, mutual funds, market liquidity

Measuring the Liquidity Profile of Mutual Funds

FEDS Working Paper No. 2019-055
Number of pages: 42 Posted: 22 Oct 2019
Sirio Aramonte, Chiara Scotti and Ilknur Zer
Bank for International Settlements (BIS), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 32 (509,928)
Citation 1

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Asset management, Liquidity transformation, Market liquidity, Mutual funds

9.

Cross-Market Liquidity and Dealer Profitability: Evidence from the Bond and CDS Markets

Journal of Financial Markets, Forthcoming
Number of pages: 57 Posted: 23 Jul 2018 Last Revised: 06 Apr 2020
Sirio Aramonte and Pawel Szerszen
Bank for International Settlements (BIS) and Board of Governors of the Federal Reserve System
Downloads 38 (469,462)

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bonds; credit default swaps; liquidity provision; dealer profitability

10.

OTC Derivatives: Euro Exposures Rise and Central Clearing Advances

BIS Quarterly Review, December 2019
Number of pages: 11 Posted: 17 Dec 2019
Sirio Aramonte and Wenqian Huang
Bank for International Settlements (BIS) and Bank for International Settlements
Downloads 20 (566,510)
Citation 2

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