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Dr. rer. oec. Jurij-Andrei Reichenecker, MSc UZH ETH

Lecturer
Institute for Finance
Current Activity
Jurij-Andrei Reichenecker completed his Ph.D at the University of Liechtenstein in 2018. His Ph.D thesis is about international finance with the focus on currency management. His previous background is in Quantitative Finance (graduate at ETH Zurich / University of Zurich) as well as Mathemathics and Management (undergraduate at the University of Ulm). His current research interests are international finance, foreign exchange markets, risk management and portfolio optimization. Jurij has already published articles in scientific journals (see publication list below).
In 2019, Jurij joined UBS as a market risk officer for liquidity reverse portfolios. He also worked for TowersWatson and T-Systems.
Chipkartenfoto
Schedule for WS 20/21
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., Menichetti, M., & Reichenecker, J.-A. (in press). Hedging with an Edge: Parametric Currency Overlay. Management Science, 66. (ABDC_2016: A*; ABDC_2019: A*; ABS_2018: 4*; FT_2016 50_2016: yes; VHB_3: A+)

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  • Reichenecker, J. A. (2018). Standard and optimized carry trades. International Journal of Finance & Economics, 23(3), 329-344. (ABDC_2016: B; ABDC_2019: B; ABS_2018: 3)

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  • Reichenecker, J. A. (2017). Diversification effect of standard and optimized carry trades. European Journal of Finance, 25(8), 34. (ABDC_2016: B; ABDC_2019: A; ABS_2018: 3; ISI_2016: 0.795; ISI_2016_5year: 1.136; VHB_3: B)

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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.

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  • Reichenecker, J. A. (2016). Diversification Effect of Naive and Optimized Carry Trades. Presented at the 9th International Accounting & Finance Doctoral Symposium, Glasgow, UK.

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  • Reichenecker, J. A. (2016). Diversification Effect of Naive and Optimized Carry Trades. Presented at the 9th Finance Conference of the Portuguese Finance Network, Covilhã, Portugal.

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  • Reichenecker, J. A. (2015). Naive and Optimized Carry Trades and Their Sensitivities to Interest Rates. Presented at the Southern Finance Association, Captiva Island, Florida.

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  • Reichenecker, 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.

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  • Reichenecker, 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).

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  • Reichenecker, J. A. (2014). Currency Carry Trade Portfolios and their Sensitivity to Interest Rates.

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