publications

2023

1. IRF

   International financial regulation of cryptoassets and Asset-Backed Tokens

   Sylvia Gottschalk

   In Fintech, Pandemic, and the Financial System: Challenges and Opportunities, 2023
2. IJFE

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

   Sylvia Gottschalk

   International Journal of Finance & Economics, 2023
3. ERC

   Demand for external finance by environmentally-motivated SMEs: An exploration of geographical disparities and potential in relation to Net-Zero

   S. Gottschalk, and R. Owen

   2023

2022

1. QFE

   Digital currency price formation: A production cost perspective

   Sylvia Gottschalk

   Quantitative Finance and Economics, 2022

2021

2020

1. SSRN

   Combined Crises and Their Implications for Firm Profitability

   A. Siqueira, and S. Gottschalk

   2020
2. SSRN

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

   S. Gottschalk, and B. Ndang

   2020

2019

1. Math. Fin. Lett.

   A closed-form formula for pricing bonds between coupon payments

   S. Gottschalk

   Mathematical Finance Letters, 2019
2. SSRN

   The impact of of executive board gender diversity on risk-taking in Canadian and US banks

   S. Gottschalk

   2019

2017

1. Physica A

   Entropy measure of credit risk in highly correlated markets

   Gottschalk

   Physica A, 2017

2011

1. Asset correlation, portfolio diversification and regulatory capital in the Basel Capital Accord

   S. Gottschalk

   Risk Governance and Control: Financial Markets and Institutions, 2011

   Abs

   In this paper, we analyze the properties of the KMV model of credit portfolio loss. This theoretical model constitutes the cornerstone of Basel II’s Internal Ratings Based(IRB) approach to regulatory capital. Our results show that this model tends to overestimate the probability of portfolio loss when the probability of default of a single firm and the firms’ asset correlations are low. On the contrary, probabilities of portfolio loss are underestimated when the probability of default of a single firm and asset correlations are high. Moreover, the relationship between asset correlation and probability of loan portfolio loss is only consistent at very high quantiles of the portfolio loss distribution. These are precisely those adopted by the Basel II Capital Accord for the calculations of capital adequacy provisions. So, although the counterintuitive properties of the KMV model do not extend to Basel II, they do restrict its generality as a model of credit portfolio loss.

2008

1. IJFE

   Foreign Direct Investment and exchange rate uncertainty in South-East Asia

   S. Gottschalk, and S. Hall

   International Journal of Finance and Economics, 2008
2. The impact of EMU on growth and development

   R. Barrell, S. Gottschalk, S. Holland, and 3 more authors

   2008

2007

1. Foreign direct investment and exchange rate uncertainty in imperfectly competitive industries

   R. Barrell, S. Gottschalk, and S. Hall

   In Regionalisation, Growth and Economic Integration, 2007
2. Fiscal policy in Europe

   R. Barrell, and S. Gottschalk

   National Institute Economic Review, 2007

2004

1. The volatility of the output gap in the G7

   R. Barrell, and S. Gottschalk

   National Institute Economic Review, 2004
2. Econ Model

   Macroeconomic policy in Europe: experiments with monetary responses and fiscal impulses

   R. Barrell, B. Becker, J.S. Byrne, and 3 more authors

   Economic Modelling, 2004
3. NIESR

   The volatility of the output gap in the G-7

   R. Barrell, and S. Gottschalk

   2004

2002

1. Product quality and the international location of manufacturing production

   S. Gottschalk

   Journal of Economic Integration, 2002

2001

1. Can market size outweigh adverse comparative advantage?

   S. Gottschalk

   Journal of International Trade and Economic Development, 2001