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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 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, macroeconomic and credit risk modelling. Recently, my work have focused on the impacts of the Basel Capital Accord in emerging markets, on the development of macroeconomic measures of credit risk, and on the macroeconomic determinants of FDI, in particular, on the impact of exchange rate uncertainty and monetary union on FDI to the UK and on the location decisions of US and Japanese firms in East Asia.

        I have worked with the Institute's global econometric model, NiGEM, after completing a PhD in economics in 2001, and have regularly contributed to the forecast material in the InstituteReview. I have taken part in several modelling projects for NiGEM, including a study of the Hong Kong economy, and an analysis of financial regulation rules in Brazil and Mexico. I have done extensive research on international trade and economic geography, with emphasis on regional integration and the location of manufacturing industries. 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 theInternational Journal of Finance and Economics, ,Economic Modelling, Journal of Trade and Economic DevelopmentandJournal of Economic Integration.

        Qualifications

        • DPhil. Economics (Sussex)
        • BSc (2:1) Physical Science (Open University)
        • PGCertHE

        Languages spoken


        Languages Spoken

      • Learning &
        Teaching Interests

        I have taught several quantitative subjects in Economics and Finance at undergraduate and postgraduate levels, among them Econometrics, Microeconomics, International Finance, International Financial Regulation, Behavioural Finance, Fixed-Income Securities, and Derivatives.

        I have supervised several MSc and DPhil students, on interest rate risk, credit risk modelling for SMEs, and on the nonlinear relationship between population and environmental damage.

      • Research Outputs &
        Interests

        My research interests are credit risk modelling and international financial regulation

        My main current research topics are alternative measures in credit risk modelling, and big data visualisation for monitoring financial stability.

        Selected Publications

        •  "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

      • Funded Research &
        Knowledge Exchange Projects

        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 Physics (IoP) - Associate Member

        Institute of Mathematics and its Applications (IMA) - Associate Member

        LMS - Ordinary Member

        European Mathematical Society - Member

        HEA (Higher Education Association) - Fellow

         

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