Sirio Aramonte

Bank for International Settlements (BIS)

Centralbahnplatz 2

Basel, Basel-Stadt 4002

Switzerland

SCHOLARLY PAPERS

9

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Scholarly Papers (9)

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

Number of pages: 67 Posted: 31 Jan 2017 Last Revised: 20 May 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 177 (165,854)

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

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 34 (449,227)

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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 126 (220,454)

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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 15 (558,667)

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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

3.

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 124 (222,328)

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

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 64 (341,928)

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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 56 (366,051)

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Investor sentiment, R&D, Technological innovation

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 101 (257,638)

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Option Pricing, Macroeconomic Uncertainty

6.

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 94 (269,963)

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Country studies, Quality of institutions, Return predictability

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 79 (303,406)

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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 15 (558,667)

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8.

The Effect of Large Macro Surprises on Mutual Funds' Liquidity Profile

Number of pages: 31 Posted: 21 Mar 2018
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 38 (422,640)

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liquidity transformation, asset management, mutual funds, market liquidity

9.

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

Number of pages: 46 Posted: 23 Jul 2018
Sirio Aramonte and Pawel Szerszen
Bank for International Settlements (BIS) and Board of Governors of the Federal Reserve System
Downloads 25 (481,823)

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bonds; credit default swaps; liquidity provision; dealer profitability