Sirio Aramonte | Bank for International Settlements

All BIS publications (14)

BIS Working Paper No 1121 7 Sep 2023

Margins, debt capacity, and systemic risk

Debt capacity depends on margins. When set in a financial system context with collateralized borrowing, two additional features…

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Andreas Schrimpf

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BIS Paper No 132 22 Dec 2022

Information governance in sustainable finance

In this paper, we discuss ways to enhance information governance in sustainable finance, a sector of funding markets that, in…

and

BIS Working Paper No 1054 22 Nov 2022

Inflation risk and the labor market: beneath the surface of a flat Phillips curve

While the Phillips curve appeared quiescent after the Great Financial Crisis (GFC), inflation risk, as gauged from option…

BIS Bulletin No 57

BIS Bulletin No 57 14 Jun 2022

DeFi lending: intermediation without information?

Lending platforms are a key part of the decentralised finance (DeFi) ecosystem, but their institutional features mostly…

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Sebastian Doerr

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Andreas Schrimpf

DeFi risks and the decentralisation illusion

Publication 6 Dec 2021

DeFi risks and the decentralisation illusion

This special feature analyses decentralised finance (DeFi), a new form of crypto intermediation that uses automated protocols…

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Andreas Schrimpf

The rise of private markets

Publication 6 Dec 2021

The rise of private markets

This special feature examines how private capital markets have become a global force in all aspects of firm financing and…

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Fernando Avalos

BIS Working Paper No 972 29 Oct 2021

Non-bank financial intermediaries and financial stability

We develop a risk accounting framework that describes how NBFIs' risk-taking capacity evolves during periods of market distress.

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Andreas Schrimpf

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BIS Bulletin No 41 12 Apr 2021

Futures-based commodity ETFs when storage is constrained

Exchange-traded funds (ETFs) that hold futures contracts on commodities are an important link between commodity markets and…

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Karamfil Todorov

BIS Working Paper No 921 19 Jan 2021

Firm-specific risk-neutral distributions with options and CDS

We propose a method to extract the risk-neutral distribution of firm-specific stock returns using both options and credit…

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Mohammad R Jahan-Parvar

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All external publications (8)

External publication 3 Nov 2023

Margins, debt capacity, and systemic risk

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Andreas Schrimpf

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External publication 6 Apr 2020

Cross-market liquidity and dealer profitability: evidence from the bond and CDS markets

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External publication 1 Jul 2019

Measuring the liquidity profile of mutual funds

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External publication 1 Feb 2019

Risk-taking and low longer-term interest rates: Evidence from the US syndicated term loan market

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Viktors Stebunovs

External publication 1 Feb 2019

Institutions and return predictability in oil-exporting countries

Mohammad R Jahan-Parvar

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Justin K Shugarman

External publication 1 Feb 2017

Assessing and combining financial conditions indexes

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External publication 1 Nov 2014

Macroeconomic uncertainty and the cross section of option returns

External publication 1 Nov 2013

Dynamic factor value-at-risk for large heteroskedastic portfolios

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Marius del Giudice Rodriguez

All videos (1)

00:02:27

OTC derivatives: euro exposures rise and central clearing advances

Video 8 Dec 2019

OTC derivatives: euro exposures rise and central clearing advances

Aramonte and Huang highlight trends in the composition of outstanding OTC derivatives and explore reasons behind the voluntary…

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