Sirio Aramonte

Former Senior Economist

Sirio joined the BIS in 2018. His research interests include asset pricing and financial stability. He has extensive policy expertise in banking regulation, the role of non-banks in financial intermediation and the functioning of the asset management industry. Sirio previously worked at the Federal Reserve Board, as principal economist in the Division of Financial Stability and as economist in the Division of Supervision and Regulation. He holds a PhD in finance from London Business School.

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…
By
Sirio Aramonte
,
Andreas Schrimpf
and
Hyun Song Shin
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…
By
Sirio Aramonte
and
Frank Packer
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…
By
Sirio Aramonte
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…
By
Sirio Aramonte
,
Sebastian Doerr
,
Wenqian Huang
and
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…
By
Sirio Aramonte
and
Fernando Avalos
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…
By
Sirio Aramonte
,
Wenqian Huang
and
Andreas Schrimpf
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.
By
Sirio Aramonte
,
Andreas Schrimpf
and
Hyun Song Shin
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…
By
Sirio Aramonte
and
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 fi rm-specifi c stock returns using both options and credit…
By
Sirio Aramonte
,
Mohammad R Jahan-Parvar
,
Samuel Rosen
and
John Schindler

All external publications (8)

External publication 3 Nov 2023
Margins, debt capacity, and systemic risk
By
Hyun Song Shin
,
Andreas Schrimpf
and
Sirio Aramonte
External publication 6 Apr 2020
Cross-market liquidity and dealer profitability: evidence from the bond and CDS markets
By
Sirio Aramonte
and
Pawel Szerszen
External publication 1 Jul 2019
Measuring the liquidity profile of mutual funds
By
Sirio Aramonte
and
Ilknur Zer
External publication 1 Feb 2019
Institutions and return predictability in oil-exporting countries
By
Mohammad R Jahan-Parvar
,
Sirio Aramonte
and
Justin K Shugarman
External publication 1 Feb 2019
Risk-taking and low longer-term interest rates: Evidence from the US syndicated term loan market
By
Seung Jung Lee
,
Sirio Aramonte
and
Viktors Stebunovs
External publication 1 Feb 2017
Assessing and combining financial conditions indexes
By
Sirio Aramonte
,
Samuel Rosen
and
John Schindler
External publication 1 Nov 2014
Macroeconomic uncertainty and the cross section of option returns
By
Sirio Aramonte
External publication 1 Nov 2013
Dynamic factor value-at-risk for large heteroskedastic portfolios
By
Sirio Aramonte
,
Jason Wu
and
Marius del Giudice Rodriguez

All videos (1)

00:02:27
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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…
By
Wenqian Huang
and
Sirio Aramonte

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