Markus Hertrich

University of Basel - Center for Economic Science (WWZ) - Department of Finance

Peter Merian-Weg 6

Basel, 4052

Switzerland

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

7

DOWNLOADS

885

SSRN CITATIONS

6

CROSSREF CITATIONS

6

Scholarly Papers (7)

1.

Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets

International Journal of Applied Economics, 12(2), September 2015, 1-46
Number of pages: 46 Posted: 21 Apr 2014 Last Revised: 12 Nov 2015
Markus Hertrich
University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 255 (143,198)
Citation 3

Abstract:

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financial crisis, credit default swap, credit risk, liquidity risk, endogeneity, macroprudential policy

2.

A Note on Credit Spread Forwards

Number of pages: 9 Posted: 22 Apr 2015 Last Revised: 04 Feb 2016
Markus Hertrich
University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 215 (168,761)

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academic education, credit derivative, credit spread forward, economic instruction, hedging, instructional material

3.

On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective

Number of pages: 43 Posted: 10 Jul 2013 Last Revised: 10 Mar 2015
Markus Hertrich and Heinz Zimmermann
University of Basel - Center for Economic Science (WWZ) - Department of Finance and University of Basel - Center for Economic Science (WWZ)
Downloads 215 (168,761)
Citation 8

Abstract:

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central banking, credibility, currency option, Euro/Swiss Franc floor, Vanna-Volga method, barrier

Foreign Exchange Interventions Under a One-sided Target Zone Regime and the Swiss Franc

Deutsche Bundesbank Discussion Paper No. 21/2020
Number of pages: 59 Posted: 21 Apr 2020
Markus Hertrich
University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 34 (539,079)

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Foreign exchange interventions; minimum exchange rate; reaction function; reflected Brownian motion; Swiss franc; Swiss National Bank; target zone; unconventional monetary policy

Foreign Exchange Interventions Under a One-Sided Target Zone Regime and the Swiss Franc

Number of pages: 55 Posted: 02 Apr 2020
Markus Hertrich
University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 27 (580,764)

Abstract:

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Foreign exchange interventions, minimum exchange rate, reaction function, reflected Brownian motion, Swiss franc, Swiss National Bank, target zone, unconventional monetary policy

5.

A Novel Housing Price Misalignment Indicator for Germany

Deutsche Bundesbank Discussion Paper No. 31/2019
Number of pages: 43 Posted: 11 Nov 2019
Markus Hertrich
University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 61 (415,668)

Abstract:

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composite indicator, fundamental value, housing market, imbalances, loose monetary policy, price misalignment

6.

The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone

Number of pages: 33 Posted: 29 Jul 2015 Last Revised: 04 Feb 2016
Markus Hertrich
University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 58 (426,007)
Citation 3

Abstract:

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Foreign-exchange interventions, foreign exchange reserves, minimum exchange rate, reflected geometric Brownian motion, target zone costs, Swiss National Bank

7.

Quantitative Modelling of the EUR/CHF Exchange Rate During the Target Zone Regime of September 2011 to January 2015: A Correction

Number of pages: 3 Posted: 18 Dec 2019
Markus Hertrich
University of Basel - Center for Economic Science (WWZ) - Department of Finance
Downloads 20 (609,825)

Abstract:

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Exchange rate dynamics, Target zone, Conditional volatility