HDBW-PROFESSOR DR. CHRISTIAN SCHMITT: ACADEMIC PROFILE

Position at HDBW

Professor in the Department of Business Administration
Member of the HDBW Senate

Courses Taught:

Finance and Controlling | Finance and Investment | Controlling & Cost Performance Accounting | Accounting | Business Mathematics | Statistics | SME Management

Current Third-Party Funded Projects:

KIARA - Explainable KI and Analytics in Cyber Risk Assessments

Professional Career

Since 2019
HDBW - University of Applied Sciences for Business in Bavaria
Professor of Business Administration

Since 2018
Index Intelligence GmbH
Executive Advisor & Deputy Chairman of the Advisory Board

Since 2018
Avida International GmbH
Senior Advisor

2016 – 2018
TrustBills GmbH
Senior Vice President, Head of Investor Solutions

2002 – 2016
risklab GmbH (Allianz Global Investors)
Managing Director, Head of Investment & Risk Consulting

1999 – 2002
Deutsche Bank AG
Vice President Risk Management Services
Chief Market Risk Officer

1993 – 1999
Center for European Economic Research (ZEW)
Research Fellow, Department of International Financial Markets and Financial Management

Since 2006
Lecturer/Instructor at, among others, Technical University of Munich, FOM, ISM, and DVFA (German Association for Financial Analysis and Asset Management)

Studies

2008
ESMT European School of Management & Technology, Allianz Leadership Development Program

2007
Harvard Business School - AllianzGI Harvard Executive Program

2001 – 2003
CFA Charterholder (Chartered Financial Analyst)

1993 – 1999
University of Mannheim, PhD in Business Administration (Dr. rer. pol.) at the Chair of Business Administration and Finance, Prof. Dr. Dr. h.c. Wolfgang Bühler. Dissertation topic: "Economic and Econometric Analysis of Option Valuation under Stochastic Volatility"

1988 – 1993
University of Karlsruhe (now: KIT), Master's in Industrial Engineering (Diplom-Wirtschaftsingenieurwesen)

Publications

• An Asset Class of Its Own, Die Bank 07-2017, Special Issue on Digital Finance, pp. 68-70.
• Trade Receivables: A New Asset Class, ICC Magazine, May 2017, pp. 42-45.
• Impact of Risk-Weighted Regulation on Pension Fund Investment Strategy, Absolut Report, 6/2014, pp. 20-27.
• Pension Investment Strategies Under Risk-Based Regulation, OECD Project Report on Long-term Investments by Institutional Investors, 2014 (with Dr. Gerhard Scheuenstuhl and Dr. Andreas Reuß).
• Taking Smart Risk – Constructing an Asset Allocation, Risk Matters, Edition 4, 2013, pp. 16-21 (with Dr. Wolfgang Mader).
• Raise Your Buffers, Project M, #15, 2013, pp. 12-13.
• Strategic Asset Allocation in Times of Financial Repression, AllianzGI, Smart Risk Series, 2013 (with Dr. Wolfgang Mader).
• Solvency II Is Causing a Paradigm Shift, Update II/2013, pp. 6-13 (with Dennis Nacken).
• Strategic Allocation of Asset Classes – A Critical Success Factor for Credit Institutions, Update III/2012, pp. 16-21 (with Caroline Tschesche).
• Stochastic Volatility, in Schröder, Michael (Ed.): Financial Market Econometrics, 2nd edition, 2012, Schäffer-Poeschel, Stuttgart, pp. 267-312.
• Correlations and the Trouble with Harry, Project M, #07, 2011, pp. 48+49.
• Rethinking the Herd, Project M, #01, 2008, pp. 12+13.
• Value at Risk (VaR) and Risk Measures, in: Encyclopedia of Quantitative Risk Assessment and Analysis, Melnick, E. / Everitt, B. (Eds.), John Wiley & Sons Ltd., 2008, Chichester, pp. 1823-1830 (with Prof. Dr. Rudi Zagst).
• ‘Best of Expertise’ Approach Through Outsourcing in Pension Asset Management, Comment in: Asia Pacific Pensions: Reform Trends and Growth Opportunities, Allianz Global Investors AG, 2005.
• Asset Liability Management in the Pensions Market, Comment in: Central and Eastern European Pensions: Reform Trends and Opportunities, Allianz Dresdner Asset Management AG, 2004.
• Economic and Econometric Analysis of Option Valuation Under Stochastic Volatility, ZEW Series, Vol. 52, 2000, Nomos-Verlag, Baden-Baden.
• Improving the Pricing of Options – A Neural Network Approach, Journal of Forecasting, Vol. 17, 1998, pp. 369-288 (with Prof. Dr. Olaf Korn and Dr. Ulrich Anders).
• The Profitability of Volatility Strategies in Option Markets: A Model Comparison for DAX Options, Die Bank, December 1997, pp. 743-747 (with Prof. Dr. Jürgen Kaehler and Dr. Elisabeth Hehn).
• Delta-Neutral Volatility Trading with Intraday Prices: An Application to Options on the DAX, Proceedings of the 4th International Conference "Forecasting Financial Markets: Advances for Exchange Rates, Interest Rates and Asset Management", 1997 (with Prof. Dr. Jürgen Kaehler).
• Guaranteed Funds Made by Yourself, EU-Magazine, 1-2/1997, pp. 37-38.
• Replicating Stock Indices: A Comparison of Different Methods, in Schröder, Michael (Ed.): Quantitative Methods in Financial Markets, ZEW Economic Analyses, Vol. 5, 1996, pp. 37-64 (with Prof. Dr. Olaf Korn).
• Option Pricing Using EGARCH Models, in: Albrecht, Peter (Ed.): Actuarial Approaches for Financial Risks, Vol. 2, 1996, pp. 1311-1336.
• Valuation of DAX Options with GARCH Models, ZEW Newsletter, Vol. 4, No. 2, December 1995, pp. 15-17.
• Using Markov Switching Models for Forecasting Implied Volatility, Futures & Options Monthly Review, February 1995, pp. 12-13 (with Dr. Andreas Bohn).