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      Dr Sylvia Gottschalk

      AMIMA, AMInstP  
      ROLE: Director of Finance Programmes
      SCHOOL: Business School
      DEPARTMENT: Accounting & Finance
      TELEPHONE: +44 (0)20 8411 4348
      EMAIL: S.Gottschalk@mdx.ac.uk
      1. Biography &
        Qualifications
      2. Learning &
        Teaching Interests
      3. Research Outputs &
        Interests
      4. Funded Research &
        Knowledge Exchange Projects
      5. Engagement &
        Impact

      • Biography &
        Qualifications

        I joined Middlesex University Business School after working several years as a researcher and forecaster at the National Institute of Economic and Social Research (NIESR). I have worked on a wide range of topics in applied economics, such as exchange rate volatility, the impacts of the Basel Capital Accord in emerging markets, the development of macroeconomic measures of credit risk, the macroeconomic determinants of FDI. More recently, my work has focused on financial economics issues, such a the correlations of equity returns, the impact of Brexit on the equity returns in Europe and on asset pricing.

        I have undertaken research projects for the Department for International Development (Dfid), and the BBVA Foundation, on credit risk. I have contributed to papers on fiscal and monetary policy, FDI and exchange rate uncertainty and published in the International Journal of Finance and Economics, Economic Modelling, Journal of Trade and Economic Development and the Journal of Economic Integration.

        Qualifications

        • DPhil. Economics (Sussex)
        • BSc (2:1) Physical Science (Open University)
        • BSc/MSc Economics (UFF/EPGE)
        • PGCertHE (Middlesex)
        • Blockchain Fundamentals for Accounting and Finance Professionals Certificate, (AICPA-CIMA)

        Languages spoken

        Various


        Languages Spoken

      • Learning &
        Teaching Interests

        My main teaching interest are asset pricing (Fixed-income analysis, Derivatives and Structured Products), econometrics, behavioural finance, and decision theory.

        I have supervised several DPhil students, on interest rate risk, credit risk, population and environmental damage, institutional and corporate determinants of profit in global banking.

      • Research Outputs &
        Interests

        My research interests are in financial economics.

         Selected Publications

        • "Institutional and geopolitical aspects of bond spreads impacts on corporate capital structure in emerging markets", submitted to the Journal of Emerging Markets Finance, (with B. Ndang)
        •  "Brexit and correlations of equity returns in France, Germany, Italy, Spain and the U.K. " (April 10, 2018). Available at SSRN: https://ssrn.com/abstract=3160316

        • "A closed-form formula for pricing bonds between coupon payments" (2018), ArXiv:1801.06028v1[q-fin-PR]; forthcoming in Mathematical Finance Letters (http://scik.org/index.php/mfl)

        • "Entropy measure of credit risk in highly correlated markets" (2017), Physica A, Vol. 478, pp.11-19,http://dx.doi.org/10.1016/j.physa.2017.02.083
        • "Entropy and credit risk in highly correlated markets" (2016), arXiv:1604.07042v1 [q-fin.RM]
        • "Asset correlation, portfolio diversification and regulatory capital in the Basel Capital Accord" (2011),Journal of Risk Governance and Control, Vol. 1, Issue 3
        • Ray Barrell, and Sylvia Gottschalk, 'The impact of capital adequacy ratios in emerging markets' (2010), in BaselII in developing countries: Implementation challenges and development finance, edited by R. Gottschalk (ed.), Palgrave-Macmillan.
        • Ray Barrell, Sylvia Gottschalk and Stephen Hall, 'Foreign direct investment and exchange rate uncertainty in imperfectly competitive industries' (2007),in Regionalisation, Growth and Economic Integration,edited by George Korres, Springer-Verlag.
        • Sylvia Gottschalk and Stephen Hall, 'Foreign Direct Investment and exchange rate uncertainty in South-East Asia' (2008),International Journal of Finance and Economics13 (4): 349-359
        • Ray Barrell, Sylvia Gottschalk, Dawn Holland, Ehsan Khoman, Iana Liadze and Olga Pomerantz, 'The impact of EMU on growth and development' (2008),European Economy Economic  Papers, Number 318, April.
        • Ray Barrell, Bettina Becker, Joseph Byrne, Sylvia Gottschalk, Ian Hurst, and Desiree van Welsum, 'Macroeconomic policy in Europe: experiments with monetary responses and fiscal impulses' (2004),Economic Modelling, 21:877-931.
        •  "Product quality and the international location of manufacturing production" (2002), Journal of Economic Integration, 17(2):363-376.
        • "Can market size outweigh adverse comparative advantage?" (2001), Journal of International Trade and Economic Development, 11(1): 1-19.
        • 'The Probability Distribution Function of Stocks Returns in Brazil: A non-parametric Approach'(1995),The Brazilian Review of Econometrics, 15(1): 77-100.

        Publication Feed

        A closed-form formula for pricing bonds between coupon payments

        Gottschalk, Sylvia (2018) A closed-form formula for pricing bonds between coupon payments. Mathematical Finance Letters , 2018 . pp. 1-16. ISSN 2051-2929

        Entropy measure of credit risk in highly correlated markets

        Gottschalk, Sylvia (2017) Entropy measure of credit risk in highly correlated markets. Physica A: Statistical Mechanics and its Applications , 478 . pp. 11-19. ISSN 0378-4371

        Capital adequacy requirements in emerging markets

        Barrell, Ray and Gottschalk, Sylvia (2009) Capital adequacy requirements in emerging markets. In: The Basel Capital Accords in developing countries: challenges for development finance. Gottschalk, Ricardo , ed. Palgrave Macmillan, UK, pp. 97-140. ISBN 9780230222243

        View more publications

      • Funded Research &
        Knowledge Exchange Projects

        Conferences

        • Financial Engineering and Banking Society – 9th International Conference, June 2019
        • Multinational Finance Society 26th Annual Conference, July 2019
        • British Accounting and Finance Association -Committee of departments of Accounting and Finance –Annual Conference, 2017
        • Annual Learning and Teaching Conference ALTC 2017 (“Teaching in a Time of Uncertainty”)

         

        Research project: Big Data and Visualising Liquidity (March-2017)

        This project will involve designing a prototype fort for visualising data on liquidity and value of specific contracts in credit risk modelling.  Using Brammertz’s (2013) ideas of liquidity in context of financial systemic risk, the project will create  a “simple” visualisation that would capture the essential variables for monitoring systemic risk, and to use that to track and the data itself to provide a viewer with the information that allows them to anticipate possible market behaviours.

        Leader: Sophie Cockcroft (Sophie@business.uq.edu.au),University of Queensland Business School

        Co-investigators: William Wong (W.Wong@mdx.ac.uk), Middlesex University School of Science and Technology, Jens Gulden (J.Gulden@uni-due.de), and Sylvia Gottschalk (S.Gottschalk@mdx.ac.uk), Middlesex University Business School.

      • Engagement &
        Impact

        • Institute of Mathematics and Applications (IMA), United Kingdom, Associate member, 2013-present
        • London Mathematical Society (LMS), Ordinary member, 2016-present
        • European Mathematical Society (EMS), Full member, 2016-present
        • Institute of Physics (IoP), United Kingdom, Associate member, 2013-present
        • European Physics Society (EPS), Full member, 2016-present
        • HEA (Higher Education Association) - Senior Fellow

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