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Personal profile

Personal information

I am an associate professor of finance at the Vrije Universiteit Amsterdam since 2017. Before that I was an Assistant Professor of Finance at the University of St.Gallen, Switzerland. I joined the Swiss Institute of Banking and Finance in August 2012 and teached courses on systemic risk, financial institutions management, and financial econometrics. Prior to joining the University of St.Gallen, I worked as Risk Modeling & Analytics Specialist within Firm-wide Risk Control and Methodology at UBS AG. I hold a Ph.D. in Banking and Finance from the University of Zurich (2011) and a M.Sc. in Econometrics and Operations Research from Maastricht University.

Research

My research focuses on money markets, international finance, asset pricing, and financial econometrics. I have published papers in The Journal of Finance as well as The Review of Financial Studies.

Ancillary activities

No ancillary activities

Ancillary activities are updated daily

Fingerprint Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

Liquidity Business & Economics
Liquidity risk Business & Economics
Finance Business & Economics
International finance Business & Economics
Asset pricing Business & Economics
Interbank market Business & Economics
Money market Business & Economics
Risk premium Business & Economics

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Research Output 2012 2018

Unsecured and Secured Funding

di Filippo, M., Ranaldo, A. & Wrampelmeyer, J. 2018 038/IV ed., Amsterdam: Tinbergen Institute, 47 p.(TI Discussion Paper Series; vol. 18, no. 038/IV)

Research output: Working paper

The euro interbank repo market

Mancini, L., Ranaldo, A. & Wrampelmeyer, J. 2016 In : Review of Financial Studies. 29, 7, p. 1747-1779 33 p.

Research output: Contribution to journalArticle

Interbank market
Funding
Maturity
Agenda
Lending

Liquidity in the foreign exchange market: Measurement, commonality, and risk premiums

Mancini, L., Ranaldo, A. & Wrampelmeyer, J. Oct 2013 In : The Journal of Finance. 68, 5, p. 1805-1841 37 p.

Research output: Contribution to journalArticle

Risk premium
Liquidity
Liquidity risk
Commonality
Foreign exchange market

The joint dynamics of hedge fund returns, illiquidity, and volatility

Wrampelmeyer, J. Jun 2012 In : Journal of Alternative Investments. 15, 1, p. 43-67 25 p.

Research output: Contribution to journalArticle