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Dr Markus Hertrich

Research Interests

  • Asset Pricing and Financial Econometrics
  • Empirical Banking and Financial Intermediation
  • Financial Markets and International Economics
  • Monetary and Financial Stability
  • Real Estate Finance and Economics
  • Risk Management in Banking

Refereed Publications

  • Hertrich, M. and H. Zimmermann (2017), On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective, Journal of Money, Credit and Banking, Vol. 49(2-3), 567-578.
  • Hertrich, M. (2016), The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone, Review of Economics, Vol. 67(1), 91-120.
  • Hertrich, M. (2016), The Distribution of Exchange Rates under a Minimum Exchange Rate Regime, Journal of Applied Economics, Vol. 19(2), 351-361.
  • Hertrich, M. (2016), A Note on Credit Spread Forwards, Journal of Ad-vanced Studies in Finance, Vol. 7(1(13)), 77-81.
  • Hertrich, M. (2015), A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier, Swiss Journal of Economics and Statistics, Vol. 151(3), 227-260.
  • Hertrich, M. (2015), Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets, International Journal of Applied Economics, Vol. 12(2), 1-46.
  • Hertrich, M. and D. Veestraeten (2013), Valuing Stock Options when Prices are Subject to a Lower Boundary: A Correction, Journal of Futures Markets, Vol. 33(9), 889-890.

Other Working Papers and Publications

  • Hertrich, M. and H. Zimmermann (2015), On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective, WWZ Working Paper 2015/09.
  • Hertrich, M. (2013), Financial Time Series Forecasting using Wavelets.
  • Hertrich, M. (2013), Multi-Moment Capital Asset Pricing Models for the Swiss Stock Market.
  • Hertrich, M. (2012), The Dynamics of Liquidity and Credit Risk.
  • Hertrich, M. (2010), Empirische Analyse der Abhängigkeiten zwischen Realen und Finanzwirtschaftlichen Schocks.
  • Hertrich, M. (2009), Inflationsindexierte Anleihen, Hamburg: Igel Verlag Fachbuch, ISBN-13: 978-3868150971.

Refereeing (Selection)

  • Journal of Money, Credit and Banking
  • Journal of International Money and Finance
  • Journal of Futures Markets
  • Journal of Risk
  • Swiss Journal of Economics and Statistics
  • Swiss National Bank Working Paper.

Awards

  • Best Master’s Thesis of the Year 2008 Award
  • Young Scientist Award of the Year 2008 (2. Prize) of the Basel Private Bankers for Outstanding Master’s Theses

Additional information

Contact

Markus Hertrich

Dr Markus Hertrich

+49 69 9566-7088

Address

Deutsche Bundesbank

Central Office, Directorate General Banking and Financial Supervision

Wilhelm-Epstein-Straße 14
60431 Frankfurt am Main