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      Dr Sylvia Gottschalk

      AMIMA, AMInstP
      ROLE: Senior Lecturer in Economics
      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, fixed-income, asset pricing, and green finance, with a particular focus on computational finance and big data analysis. 

        I have undertaken research projects on credit risk for the Department for International Development (Dfid), and the BBVA Foundation; and on SME access to green finance for the Department for Business, Energy & Industrial Strategy (BEIS). 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, Physica A, and the Journal of Economic Integration.

        I have a PhD in economics from Sussex University and BSc in economics and in physics. I am a member of several learned societies, such as the Institute of Mathematics and Applications (IMA), the London Mathematical Society (LMS) and the Institute of Physics (IoP), and their European associates,  where I participate in initiatives linking mathematics and physics to economics and finance.

        Applications for PhD in the areas of asset pricing, credit risk modelling, computational finance, green finance, and financial economics as broad areas, are welcome.

        I am an associate editor of the journals Beta-Scandinavian  Journal of Business Research (https://www.idunn.no/beta?languageId=2#/about) , and SN Business and Economics (https://www.springer.com/journal/43546) 

        I am the co-director of the Green Finance Research Cluster, along with Dr. Robyn Owen (director). Our research can be found on GreenFin Research | Middlesex University London (mdx.ac.uk)

        CV

         


        Languages Spoken

      • Learning &
        Teaching Interests

        My main teaching interests are 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.

        Modules taught:

        FIN1350 Decision theory; FIN2150 Securities and Derivatives; FIN3170 Applied Financial Econometrics.

      • Research Outputs &
        Interests

        My research interests are in financial economics and quantitative finance.

        Selected Publications

        • "Digital currency price formation: A production cost perspective", Quantitative Finance and Economics (forthcoming). Available at SSRN: http://ssrn.com/abstract=4243511.
        • "A factor model of securitization of sovereign debt in the European Union", (February 8, 2022). Available at SSRN: https://ssrn.com/abstract=4029723
        • "International financial regulation of cryptoassets and Asset-backed Tokens", in Fintech, Pandemic, and the Financial System: Challenges and Opportunities. Ed. by Suk-Joong Kim. Vol. 22. International Finance Review. Emerald (2023).
        • "From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom " (2021). International Journal of Finance and Economics, https://doi.org/10.1002/ijfe.2567
        • "Combined crises and their implications for firm profitability" (July 2020), (with Alexandre Siqueira). https://ssrn.com/abstract=3652034 or http://dx.doi.org/10.2139/ssrn.3652034
        • "Institutional and geopolitical aspects of bond spreads impacts on corporate capital structure in emerging markets" (2022) ,  Global Business and Economics Review, forthcoming, (with B. Ndang).
        • "A closed-form formula for pricing bonds between coupon payments" (2018), Mathematical Finance Letters, Article ID 2, http://scik.org/index.php/mfl/article/view/3650 or ArXiv:1801.06028v1[q-fin-PR];
        • "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 or
        • "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.

        • 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

        • 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.

        Publication Feed

        Institutional and geopolitical aspects of bond spreads impacts on corporate capital structure in emerging markets

        Gottschalk, Sylvia and Ndang, Bertrand (2023) Institutional and geopolitical aspects of bond spreads impacts on corporate capital structure in emerging markets. Global Business and Economics Review , 28 (3). pp. 266-297. ISSN 1097-4954

        International financial regulation of cryptoassets and asset-backed tokens

        Gottschalk, Sylvia (2023) International financial regulation of cryptoassets and asset-backed tokens. In: Fintech, Pandemic, and the Financial System: Challenges and Opportunities. Kim, Suk-Joong , ed. International Finance Review, 22 . Emerald Publishing Limited, pp. 145-181. ISBN 9781802629484

        Digital currency price formation: a production cost perspective

        Gottschalk, Sylvia (2022) Digital currency price formation: a production cost perspective. Quantitative Finance and Economics . ISSN 2573-0134 (Accepted/In press)

        Social Enterprise: Market Trends 2019

        Owen, Robyn and Lyon, Fergus and Vickers, Ian and Gottschalk, Sylvia (2021) Social Enterprise: Market Trends 2019. Technical Report. DCMS, London.

        From Black Wednesday to Brexit: macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom

        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)

        View more publications

      • Funded Research &
        Knowledge Exchange Projects

        Conferences

        • 8ECM - Portoroz - 26-28 June 2021 
        • World Finance Conference - August 2021 - Norway
        • Financial Engineering and Banking Society – 9th and 10th International Conference, June 2019 and September 2021
        • BAFA - SEAG - 4th June 2021
        • 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”)

         

        Funded Research 

        • Demand for external finance by environmentally-motivated SMEs: an exploration of geographical disparities and potential in relation to Net Zero, Sponsor: BEIS, Lead applicant: Sylvia Gottschalk, co-aplicants: Robyn Owen and Ian Vickers, Timescale: Jan 2023 – April 2023. 
        • What made Canadian banks so resilient during the 2008 Crisis? (RFF/BAC&GOT/2/2018-19), Timescale: June-October 2019; Co-investigator: Edward Bace. 
        • Research project: Big Data and Visualising Liquidity (March-2017) 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

        • Associate Editor - Beta-Scandinavian  Journal of Business Research (https://www.idunn.no/beta?languageId=2#/about)  

        • Associate Editor – SN Business and Economics (https://www.springer.com/journal/43546) 

        • 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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