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.
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.
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.
"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)
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
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.
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