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 on credit risk for the Department for International Development (Dfid), and the BBVA Foundation. 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
Various
My main teaching interest are asset pricing (Fixed-income analysis, Derivatives and Structured Products), financial econometrics, behavioural finance, and decision theory.
I have supervised several DPhil students, on interest rate risk, credit risk, population and environmental damage, and on the interaction of institutional, macroeconomic and corporate determinants of profit in global banking.
My research interests are in financial economics and quantitative finance.
Selected Publications
Barrell, Ray, Gottschalk, Sylvia, Orazgani, Ali and Kirby, S. (2009) Projections of migration inflows under alternative scenarios for the UK and world economies, Economics Paper 3, Communities and local Government, ISBN 9781409813125, (17 April 2009), https://webarchive.nationalarchives.gov.uk/20120919152652/http://www.communities.gov.uk/publications/communities/projectionsmigration and https://www.dora.dmu.ac.uk/handle/2086/17911
Gottschalk, Sylvia (2021) From Black Wednesday to Brexit: macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom. International Journal of Finance & Economics . ISSN 1076-9307 (Published online first)
Gottschalk, Sylvia (2018) A closed-form formula for pricing bonds between coupon payments. Mathematical Finance Letters , 2018 . pp. 1-16. ISSN 2051-2929
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
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
Gottschalk, Sylvia and Hall, Stephen (2008) Foreign direct investment and exchange rate uncertainty in South‐East Asia. International Journal of Finance and Economics , 13 (4). pp. 349-359. ISSN 1076-9307
Conferences
Research grant: What made Canadian banks so resilient during the 2008 Crisis? (RFF/BAC&GOT/2/2018-19 - June-October 2019)
This project aims to identify the qualitative and quantitative factors that allowed Canadian banks to weather the last financial crisis better than their North American and European peers.
Co-investigator: Dr Edward Bace.
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.
