Dr. Christian Speck

Universität Mannheim
Fakultät für Betriebswirtschaftslehre
Lehrstuhl für Finanzierung
D - 68131 Mannheim

Kurzprofil

2002-2004

Grundstudium der Betriebswirtschaftslehre an der Universität Passau.

2004

Auslandsstudium an der Bordeaux Ecole de Management.

2005-2007

Hauptstudium der Volkswirtschaftslehre an der Universität Mannheim.

2007

Diplomarbeit: Stock Markets, Uncertainty and the Implications for Monetary Analysis.

seit 2007

Wissenschaftlicher Mitarbeiter am Lehrstuhl für ABWL und Finanzierung.

Forschungsinteressen

  • Dynamische Zinsstrukturkurvenmodelle
  • Kreditrisikomodelle
  • Unternehmensfinanzierung
  • Zentralbankpolitik
  • Makroökonomik

Auszeichnungen

Arbeitspapiere

Öffnet einen externen Link in einem neuen FensterCorporate Bond Risk Premia (2012) Working Paper

Abstract: This paper investigates one-year holding period risk premia of U.S. corporate and Treasury bonds. Using excess return regressions, two priced risk factors are derived from yield and macroeconomic data: A priced term risk factor and a priced credit risk factor explain half of the pre-crisis variation in one-year corporate and Treasury excess returns. Prior to the onset of the financial crisis, the information of the term risk factor is not represented by major yield characteristics but is a hidden risk factor whereas the credit risk factor is not hidden. During the crisis a structural break occures, the explanatory power for all models and the effect of the hidden factor shrinks. The regression results are usefull for the specification of affine credit term structure models: The two-factor representation of the risk premium suggests restrictions on the market price of risk processes and a flexible estimation technique to capture the hidden property of term risk. 

Conference Presentations: Swiss Society for Financial Market Research (SGF, Apr. 2013), FMA Europe (June 2013), European Financial Management Association (EFMA, June 2013), German Economic Association (VfS, Sep. 2013).

Paper Download: ssrn.com/abstract=2235168

Öffnet einen externen Link in einem neuen FensterCredit Risk and the Macro Economy in an Affine Term Structure Model (2010) Working Paper

Abstract: In this paper, I develop a joint affine macro-finance model of the term structures of US Treasury yields and US corporate bond yields to study the interrelation between corporate lending conditions and the macro economy. A model with inflation, industrial production growth and three latent factors is able to explain the dynamics of a wide range of rating classes and maturities. An economy-wide latent credit risk factor is identified to study the role of credit conditions in the business cycle. In-sample model dynamics and out-of-sample macroeconomic forecasts provide evidence that credit conditions contain information about the business cycle that are not contained in the Treasury term structure. In addition, the term structure model and its separation of risk premia and factor expectations is the best method to use yield curve data in macro forecasts. Therefore, credit conditions form an integral part of the transmission process of monetary policy and highlight the necessity to integrate credit information and term structure models into policymakers' theoretical business cycle models. 

Conference Presentations: HVB Doctoral Symposium (May 2010), German Finance Association PhD Workshop (DGF, Oct. 2010), Swiss Society for Financial Market Research (SGF, Apr. 2011), French Finance Association (AFFI, May 2011), German Economic Association (VfS, Sep. 2011), German Finance Association (DGF, Oct. 2011), Karlsruhe Symposium on Finance, Banking and Insurance (Dec. 2011), Campus for Finance Research Conference (Jan. 2012), Eastern Finance Association (Apr. 2012).

Paper Download: ssrn.com/abstract=1836784

The Financial Accelerator and the Term Structure of Corporate Bond Yields (2013) Work in Progress

Abstract: This paper combines a micro-founded business cycle model with financial frictions with the term structure of corporate bond yields. The first contribution is a new representation of the financial accelerator in a homogenous agent economy based on the trade-off theory of capital structure to model the impact of financial market imperfections on the business cycle. The second independent contribution is to combine the microfounded business cycle model to affine corporate term structure models in order to use credit spread term structure data as a business cycle indicator and to analyse the effect of macroeconomic conditions on corporate lending conditions.

Lehrstuhlaufgaben

  • Betreuung von Diplom-, Master- und Bachelorarbeiten

    • Forward Rate Bias Trading Strategies
      (BSc. Thesis, FSS 2010)
    • The Impact of Data Preprocessing on the Estimation of Dynamic Term Structure Models
      (Diplomarbeit, HWS 2010)
    • Economic Derivatives
      (MSc. Thesis, FSS 2011)
    • Canadian Real Return Bonds
      (MSc. Thesis, FSS 2011)
    • Ankündigungseffekte im Markt für Federal Fund Derivate
      (MSc. Thesis, HWS 2011)
    • Zahlungsausfall- und Liquiditätsrisiko von Staatsanleihen im Euroraum
      (Diplomarbeit, FSS 2012)
    • Anleihebewertung mit heterogenen Erwartungen im Euroraum
      (MSc. Thesis, HWS 2012)
    • Risikoprämien inflationsgesicherter Anleihen
      (MSc. Thesis, FSS 2013)
    • Wechselkursklauseln in Arbeitsverträgen
      (BSc. Thesis, FSS 2013)

  • Betreuung der Veranstaltung Investments and Asset Pricing Finanzwirtschaft I im Bachelorstudiengang BWL: Übung im Frühjahrssemester 2008 bis 2013 (in Deutsch und Englisch).
  • Betreuung der Veranstaltung FIN 401 - Corporate Finance and Risk Management Finanzwirtschaft II im Bachelorstudiengang BWL: Übung im Herbstsemester 2007 bis 2012 (in Englisch).
  • Betreuung der Veranstaltung Finanzwirtschaft für Nebenfachstudierende: Übung im Herbstsemester 2007 (in Deutsch).