Dr. David Shkel

Email: david.shkel

Phone: +49 2331 987-2612

Office hours: Thu. 11:00 - 12:00

Room: B 303, Bldg. 7

Profile

Since 2020 Postdoc at the Faculty of Economic Sciences, Chair of Banking and Finance at the University of Hagen, Germany
2013 - 2020 Research assistant (PhD student) at the Faculty of Economic Sciences, Chair of Banking and Finance at the University of Hagen, Germany
2012 - 2013 Junior Consultant, Mercer Deutschland GmbH, Düsseldorf, Germany
2006 - 2012 Studies in Business Mathematics at University of Ulm, Germany
Diploma in Business Mathematics
2005 A-levels

Research Focus

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Research focus

  • Valuation of derivatives
  • Structured retail products
  • Volatility modeling

Finished projects

Publications

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Contributions in Peer-Reviewed Academic Journals

Monographs

  • D. Shkel
    Zur Berücksichtigung des Modellrisikos bei der Bewertung strukturierter Finanzprodukte.
    Berliner Wissenschaftsverlag, Berlin 2020.

Contributions in Anthologies, other Journals, and Miscellaneous

  • D. Shkel
    Der Range Value at Risk – Eine robuste Alternative zum Expected Shortfall.
    Wirtschaftswissenschaftliches Studium 50 (12/2021), 4–11.
  • R. Baule, D. Shkel
    Kosten strukturierter Finanzprodukte im Lichte des Anlegerschutzes II Sind die Informationen der Banken objektiv, transparent und vergleichbar?
    Jahrbuch Konsum & Verbraucherwissenschaften 2021, 205–226.
  • D. Shkel
    Green Bonds – Gezielte Finanzierung grüner Schienenprojekte.
    Privatbahn Magazin 03/2021, 86–88.
  • D. Shkel
    Wetterrisikomanagement mit Wetterderivaten – Sturmfeste Geldanlagen.
    Privatbahn Magazin 01/2021, 90–91.
  • D. Shkel
    Asset Backed Securities – Schienenverkehr braucht mehr private Investoren.
    Privatbahn Magazin 05/2020, 66–67.
  • R. Baule, D. Shkel
    Bewertung von Bonuszertifikaten unter lokaler Volatilität und die Relevanz des Modellrisikos.
    Wirtschaftswissenschaftliches Studium 47 (10/2018), 18–25.
  • R. Baule, P. Münchhalfen, D. Shkel
    Offenlegung von fairen Zertifikatepreisen durch den Issuer Estimated Value.
    FIRM Jahrbuch 2017, 54–56.

Current Working Papers

  • D. Shkel
    Can you trust the numbers? A model-free assessment of misleading cost disclosures for retail derivatives under the PRIIPs regulation.
    Working Paper, Hagen 2024.
  • D. Shkel
    How can sustainability preferences be explained? A comparison of common measures.
    Working Paper, Hagen 2024.
  • D. Shkel
    Price decomposition for retail derivatives - A model-free analysis based on rough path signatures.
    Working Paper, Hagen 2023.
  • D. Shkel
    Online Appendix to: Price decomposition for retail derivatives - A model-free analysis based on rough path signatures.
    Working Paper, Hagen 2023.
  • R. Baule, D. Shkel
    Model Risk in a Rough World.
    Working Paper, Hagen 2021.

Conference Participations

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  • "Can you trust the numbers? A model-free assessment of misleading cost disclosures for Structured Retail Products" 33rd Annual Meeting of the European Financial Management Association (EFMA) Lissabon, 27.06.2024.
  • "Can you trust the numbers? A model-free assessment of misleading cost disclosures for Structured Retail Products" 2nd Structured Retail Products and Derivatives Conference Hagen, 23.05.2024.
  • "How can sustainability preferences be explained? A comparison of common measures"
    Swedish Community for Sustainable Finance Conference 2024
    Gothenburg, 26.04.2024.
  • "Price decomposition for retail derivatives-A model-free analysis based on rough path signatures"
    World Finance Conference 2023
    Kristiansand, 02.08.2023.
  • "Model-free Margin Analysis for Structured Retail Products Based on Rough Path Signatures"
    European Conference on Data Analysis 2022 (ECDA)
    Naples, 15.09.2022.
  • "Barrier Option Pricing With Trading and Non-Trading Hours"
    10th International Conference of the Financial Engineering and Banking Society (FEBS)
    Online, 30.09.2021.
  • "Barrier Option Pricing With Trading and Non-Trading Hours"
    10th General Advanced Mathematical Methods for Finance (AMaMeF)
    Online, 23.06.2021.
  • "Model Risk in a Rough World"
    60. Annual Meetings of the Southern Finance Association
    Online, 18.11.2020.
  • "Model Risk in a Rough World"
    Vienna Congress on Mathematical Finance
    Wien, 10.09.2019.
  • "Model Risk in a Rough World"
    Internationales Doktorandenseminar (IDS)
    Bayreuth, 05.07.2019.
  • "Model Risk in a Rough World"
    9th General Advanced Mathematical Methods in Finance (AMaMeF) Conference
    Paris, 11.06.2019.
  • "Model Risk and Model Choice in the Case of Barrier Options"
    18th Winter School on Mathematical Finance
    Lunteren, 21.01.2019.
  • "Model Risk and Model Choice in the Case of Barrier Options"
    Southern Finance Association (SFA) Annual Meetings 2018
    Asheville, 17.11.2018.
  • "Model Risk and Model Choice in the Case of Barrier Options"
    Doktorandenworkshop der Deutschen Gesellschaft für Finanzwirtschaft (DGF)
    Trier, 20.09.2018.
  • "Model Risk and Model Choice in the Case of Barrier Options"
    European Financial Management Association Annual Meetings 2018 (EFMA)
    Mailand, 29.06.2018.
  • "Is Model Risk Worth Worrying About? An Empirical Analysis Of Model Risk In The Case Of Structured Financial Products"
    Virtual International Congress of Actuaries 2018 (VICA)
    Berlin, 04.06.2018.
  • "Model Risk and Model Choice in the Case of Barrier Options"
    35th Annual Conference of the French Finance Association (AFFI)
    Paris, 22.05.2018.
  • "Is model risk worth worrying about? Empirical model risk quantification in the case of bonus certificates"
    4th European Conference on Data Analysis 2017
    Breslau, 28.09.2017.
  • "Der Issuer Estimated Value und das Modellrisiko bei Bonuszertifikaten"
    Internationales Doktorandenseminar (IDS)
    Passau, 01.07.2017.

Miscellaneous

mehr Infos

  • 06/2024 Capital Markets Best Paper Award EFMA Conference 2024
  • 11/2022 Add-on Fellowships for Interdisciplinary Economics and Interdisciplinary Business Administration, Joachim Herz Foundation
  • 11/2021 Faculty award for the best dissertation 2020
  • 09/2020 Best Reviewer Award Junior Management Science
  • 06/2018 Runner-up GARP Best Paper Award EFMA Conference 2018
12.07.2024