Dr. David Shkel

• Bewertung derivativer Finanzprodukte
• Strukturierte Finanzprodukte für Privatanleger
• Volatilitätsmodellierung

Abgeschlossene Projekte

• Zur Berücksichtigung des Modellrisikos bei der Bewertung strukturierter Finanzprodukte

• Objektivität und Wirkung des Issuer Estimated Value

Beiträge in referierten Fachzeitschriften

• R. Baule, P. Münchhalfen, D. Shkel, C. Tallau
  Fair-washing in the market for structured retail products? Voluntary self-regulation versus government regulation.
  Journal of Banking & Finance 148 (3/2023), 106749.
• R. Baule, P. Rosenthal, D. Shkel
  Barrier Option Pricing with Trading and Non-Trading Hours.
  Wilmott Magazine 119 (5/2022), 44–50.
• R. Baule, D. Shkel
  Model Risk and Model Choice in the Case of Barrier Options and Bonus Certificates.
  Journal of Banking & Finance 133 (12/2021), 106307.
• M. Christiansen, J. Schmidt, D. Shkel, R. Kaluscha, L. Tepohl, G. Krischak
  A projection of the need for rehabilitation in Germany till 2040 based on demographic factors.
  Gesundheitswesen 80 (5/2018), 489–494.

Monographien

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

Beiträge in Sammelbänden, sonstigen Fachzeitschriften und Verschiedenes

• 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.

Arbeitspapiere

• 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.
• R. Baule, D. Shkel
  Model Risk in a Rough World.
  Working Paper, Hagen 2021.

• "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
  Göteborg, 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.

• 06/2024 Capital Markets Best Paper Award EFMA Conference 2024
• 11/2022 Add-on Fellowships for Interdisciplinary Economics and Interdisciplinary Business Administration von der Joachim Herz Stiftung
• 11/2021 Fakultätspreis für die beste Dissertation 2020
• 09/2020 Best Reviewer Award Junior Management Science
• 06/2018 Runner-up GARP Best Paper Award EFMA Conference 2018