Jan Wrampelmeyer

Vrije Universiteit Amsterdam, School of Business and Economics

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

11

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Top 10,694

in Total Papers Downloads

5,700

SSRN CITATIONS
Rank 18,278

SSRN RANKINGS

Top 18,278

in Total Papers Citations

46

CROSSREF CITATIONS

13

Scholarly Papers (11)

1.

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
Number of pages: 69 Posted: 14 Aug 2009 Last Revised: 13 Oct 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 2,403 (7,324)
Citation 19

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Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade

2.

The Euro Interbank Repo Market

Swiss Finance Institute Research Paper No. 13-71, University of St. Gallen, School of Finance Research Paper No. 2013/16
Number of pages: 42 Posted: 28 Sep 2013 Last Revised: 29 Mar 2016
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 1,195 (22,002)
Citation 38

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Repurchase agreements, money market structure, central counterparty, short-term debt, financial crisis, unconventional monetary policy

3.

Ambiguity and Reality

Swiss Finance Institute Research Paper No. 11-33, University of St.Gallen, School of Finance Research Paper No. 2014/18
Number of pages: 61 Posted: 30 Aug 2010 Last Revised: 27 Jan 2015
Fabio Trojani, Christian Wiehenkamp and Jan Wrampelmeyer
Swiss Finance Institute, affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 443 (82,825)
Citation 1

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Knightian Uncertainty, Model Risk, Ambiguity Aversion, Robust Econometrics, Portfolio Choice, Option Pricing

4.

Unsecured and Secured Funding

Number of pages: 19 Posted: 14 Aug 2016 Last Revised: 04 Mar 2021
Mario di Filippo, Angelo Ranaldo and Jan Wrampelmeyer
World Bank Group, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 414 (89,605)
Citation 1

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Interbank market, funding risk, unsecured funding, repurchase agreements, counterparty credit risk

5.

Funding Illiquidity

University of St.Gallen, School of Finance Research Paper No. 2016/01
Number of pages: 49 Posted: 11 Jan 2016 Last Revised: 05 Sep 2019
Matthias Rupprecht and Jan Wrampelmeyer
University of St. Gallen - School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 399 (93,561)
Citation 1

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funding liquidity, unsecured and secured funding, liquidity spirals, monetary policy, regulation

6.

Liquidity Risk and Funding Cost

University of St.Gallen, School of Finance Research Paper No. 2019/03 , Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 70 Posted: 20 May 2019 Last Revised: 31 Aug 2020
Alexander Bechtel, Angelo Ranaldo and Jan Wrampelmeyer
University of St. Gallen - School of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 309 (124,333)
Citation 1

Abstract:

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funding liquidity risk, short-term interest rates, risk premiums, funding costs, interbank market

7.

Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums'

Number of pages: 59 Posted: 20 Dec 2011 Last Revised: 11 Jun 2013
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 260 (148,760)
Citation 3

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foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade

8.

Internet Appendix for 'The Euro Interbank Repo Market'

Number of pages: 28 Posted: 17 Dec 2013 Last Revised: 30 Jul 2015
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer
USI Lugano - Institute of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 160 (232,179)

Abstract:

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Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy

9.

Internet Appendix for 'Ambiguity and Reality'

Number of pages: 38 Posted: 17 Feb 2013 Last Revised: 04 Dec 2014
Fabio Trojani, Christian Wiehenkamp and Jan Wrampelmeyer
Swiss Finance Institute, affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 69 (411,214)

Abstract:

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Knightian Uncertainty, Model Risk, Ambiguity Aversion, Robust Econometrics, Portfolio Choice, Option Pricing

10.

The ‘New Normal’ During Normal Times – Liquidity Regulation and Conventional Monetary Policy

De Nederlandsche Bank Working Paper No. 703
Number of pages: 38 Posted: 11 Jan 2021
De Nederlandsche Bank, De Nederlandsche Bank, De Nederlandsche Bank and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 35 (549,408)

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Liquidity regulation, monetary policy implementation, financial intermediation, banks, open market operations

11.

Internet Appendix for 'Unsecured and Secured Funding'

Number of pages: 22 Posted: 04 Mar 2021
Mario di Filippo, Angelo Ranaldo and Jan Wrampelmeyer
World Bank Group, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 13 (694,640)

Abstract:

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Interbank market, funding risk, unsecured funding, repurchase agreements, counterparty credit risk