- Current Activity
- Jurij-Andrei Reichenecker works since 2018 as a market risk officer at UBS and is visiting researcher at University of Strathclyde since 2021. He holds a Ph.D. in Business Economics and a LL.M. in Banking and Financial Law of the University of Liechtenstein and a Master of Quantitative Finance of the University of Zurich / ETH. As an active researcher he published multiple articles in for example Management Science.
Link to personal website
- Diversification Potential and Interest Rate Sensitivities of Currency Carry Trades
- FFF-Förderprojekt, October 2015 until July 2018 (finished)
With this research project, we want to innovate the perspective how to evaluate currency carry trades (henceforth called carry trade) and implement this enhanced perspective into the asset management ... more ...
- Enhanced Carry Trades - A new Approach in Asset Management and Trading
- PhD-Thesis, February 2014 until February 2018 (finished)
Standard carry trades sell low-yield currencies and buy high-yield currencies. The trading idea is to capture the interest rate differential between currencies. The unique selection criterion of ... more ...
Barroso, P., Reichenecker, J.-A., & Menichetti, M. (2021). Hedging with an Edge: Parametric Currency Overlay. Management Science, 68(1), 669-689. (ABDC_2022: A*; ABS_2021: 4*; VHB_3: A+; FT_50_2016: yes)
moreReichenecker, J. A. (2019). Diversification effect of standard and optimized carry trades. European Journal of Finance, 25(8), 745-761. (ABDC_2022: A; ABS_2021: 3; VHB_3: B)
moreReichenecker, J. A. (2018). Standard and optimized carry trades. International Journal of Finance & Economics, 23(3), 329-344. (ABDC_2022: B; ABS_2021: 3)
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Barroso, P., Menichetti, M., & Reichenecker, J.-A. (2018). Hedging with an Edge: Parametric Currency Overlay. Paper presented at the EFMA European Financial Management Association, Annual Meeting 2018, Milan.
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Barroso, P., Menichetti, M., & Reichenecker, J.-A. (2017). Hedging with an Edge: Parametric Currency Overlay. Presented at the 30th Australasian Finance and Banking Conference 2017, Sydney.
moreReichenecker, J. A. (2016). Diversification Effect of Naive and Optimized Carry Trades. Presented at the 9th International Accounting & Finance Doctoral Symposium, Glasgow, UK.
moreReichenecker, J. A. (2016). Diversification Effect of Naive and Optimized Carry Trades. Presented at the 9th Finance Conference of the Portuguese Finance Network, Covilhã, Portugal.
moreReichenecker, J. A. (2015). Naive and Optimized Carry Trades and Their Sensitivities to Interest Rates. Presented at the Southern Finance Association, Captiva Island, Florida.
moreReichenecker, J. A. (2015). Diversification Effect of Naive and Optimized Carry Trades. Presented at the 28th Australasian Finance and Banking Conference, Sydney, Australia.
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Barroso, P., Reichecker, M. R., & Reichenecker, J. A. (2019). Let the Parametric Phoenix Fly.
moreReichenecker, J. A., & et. al. (2017). Increasing the Discoverability of non-English Language Research Papers: A Reverse-Engineering Application of the Pitching Research Template (SSRN Electronic Journal).
moreReichenecker, J. A. (2014). Currency Carry Trade Portfolios and their Sensitivity to Interest Rates.
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