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

9

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SSRN CITATIONS
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Scholarly Papers (9)

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 2,188 (6,170)
Citation 4

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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 1,084 (19,222)
Citation 13

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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 427 (67,318)
Citation 1

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

4.

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 378 (77,663)

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

5.

Unsecured and Secured Funding

Number of pages: 45 Posted: 14 Aug 2016 Last Revised: 20 Apr 2018
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 252 (121,270)
Citation 1

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Liquidity hoarding, asymmetric information, counterparty credit risk, wholesale funding fragility, interbank market, liquidity

6.

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 239 (127,976)
Citation 3

Abstract:

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

7.

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 142 (204,461)

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

8.

Liquidity Risk and Funding Cost

University of St.Gallen, School of Finance Research Paper No. 2019/03
Number of pages: 66 Posted: 20 May 2019 Last Revised: 22 May 2019
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 108 (253,182)

Abstract:

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

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 65 (342,741)

Abstract:

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