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12 Ergebnisse
Ergebnisse nach Hochschule und Institut
Publikation The Dynamics of Credit Risk and Liquidity Risk(05.04.2012) Hertrich, MarkusPräsentation der empirischen Ergebnisse (Zeitreiheneigenschaften, usw.) von Proxies für Kredit- und Liquiditätsrisiken und deren Zusammenhang.06 - PräsentationPublikation Faktormodelle im Asset Management (Teil 2)(16.05.2013) Hertrich, MarkusAnwendungsmöglichkeit von diversen Faktormodellen im Asset Management.06 - PräsentationPublikation Faktormodelle im Asset Management (Teil 1)(04.10.2012) Hertrich, MarkusAnwendungsmöglichkeiten von diversen Faktormodellen im Asset Management.06 - PräsentationPublikation Wavelets in time series analysis using R(18.01.2012) Hertrich, MarkusVorstellung der Waveletmethode allgemein und einigen Anwendungen im Bereich Wirtschaftswissenschaften und Volkswirtschaftslehre unter Verwendung des Softwareprogramms R.06 - PräsentationPublikation On the credibility of the Euro/Swiss Franc floor: a financial market perspective(14.12.2013) Hertrich, Markus06 - PräsentationPublikation The EUR/CHF currency floor as seen from the option market(03.07.2015) Hertrich, Markus06 - PräsentationPublikation Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets(Science Alert, 2015) Hertrich, MarkusDuring the recent financial crisis that erupted in mid-2007, credit default swap spreads increased by several hundred basis points, accompanied by a liquidity shortage in the U.S. financial sector. This period has both evidenced the importance that liquidity has for investors and underlined the need to understand the linkages between credit markets and liquidity. This paper sheds light on the dynamic interactions between credit and liquidity risk in the credit default swap market. Contrary to the common belief that illiquidity leads to a credit risk deterioration in financial markets, it is found that in a sample of German and Swiss companies, credit risk is more likely to be weakly endogenous for liquidity risk than vice versa. The results suggest that a negative credit shock typically leads to a subsequent liquidity shortage in the credit default swap market, in the spirit of, for instance, the liquidity spiral posited by Brunnermaier (2009), and extends our knowledge about how credit markets work, as it helps to explain the amplification mechanisms that severely aggravated the recent crisis and also indicates which macro-prudential policies would be suitable for preventing a similar financial crisis in the future.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation Es Tiempo de Soltar las Amarras al Franco?(20.12.2013) Hertrich, MarkusInterview mit Andrea Ornelas von Swissinfo über den Erfolg der EUR/CHF Wechselkursuntergrenze und dem idealen Zeitpunkt diese wieder aufzuheben.10 - Elektronische-/ WebpublikationPublikation A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier(Springer, 09/2015) Hertrich, MarkusThe put-call parity is free from distributional assumptions. It is tempting to assume that this parity also holds when an asset pricing model includes reflecting barriers. This paper shows that in the case of geometric Brownian motion with reflection such barriers cause the standard put-call parity to differ from the riskneutral parity. This paper then analyzes the error that arises when the diffusion is bounded and the standard put-call parity is applied in a risk-neutral framework as a shortcut to impute put prices from call prices, and vice versa. The risk-neutral parity that is derived for a reflected geometric Brownian motion is then used to analyze the impact that the Swiss National Bank’s minimum exchange rate regime vis-à-vis the euro has had on foreign exchange hedging costs. The analysis shows that in the analyzed period domestic investors may have incurred substantial costs as a result of hedging exposure to the euro currency and may have been overexposed to foreign exchange risk.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation Random forests in early warning models(04.08.2014) Hertrich, MarkusKritische Würdigung der Random Forest Methode allgemein und im Zusammenhang mit Early Warning Modellen (Modell der ECB).06 - Präsentation