Natalie Packham


I am Professor of Mathematics and Statistics at Berlin School of Economics and Law. Prior to that I was Assistant Professor of Quantitative Finance at Frankfurt School of Finance & Management, and I spent several years in the investment banking industry. I am also Principal Researcher within the International Research Training Group “High Dimensional Nonstationary Time Series” (IRTG 1792) at Humboldt University Berlin.

My main research interests are Mathematical Finance, Financial Risk Management, Computational Finance, Cryptocurrencies and Bayesian Statistics.


My page at SSRN

My page at

My Google citations page


Differentiation and risk aversion in imperfectly competitive labor markets. (.pdf)

with Christina Bannier, Eberhard Feess and Markus Walzl.

Journal of Institutional and Theoretical Economics, forthcoming.

A factor-model approach for correlation scenarios and correlation stress-testing (.pdf)

with Fabian Woebbeking

Journal of Banking and Finance, 101 (2019), 92-103.

Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present. (.pdf)

Statistics and Probability Letters, 137 (2018), 99-104.

Tail-risk protection trading strategies (.pdf)

with Jochen Papenbrock, Peter Schwendner and Fabian Wöbbeking

Quantitative Finance, 17:5 (2017), 729-744.

Model risk of contingent claims. (.pdf)

with Nils Detering

Quantitative Finance, 16:9 (2016), 1357-1374

Asymptotic behaviour of multivariate default probabilities and default correlations under stress (.pdf)

with Michael Kalkbrener and Ludger Overbeck

Journal of Applied Probability, 53:1 (2016), 71-81

Determinants of the onshore and offshore Chinese Government yield curves (.pdf, webpage)

with Horst Löchel and Fabian Walisch

Pacific-Basin Finance Journal, 36:February (2016), 77-93

Does risk culture matter? - The relationship between risk culture indicators and stress test results. (webpage)

with Sebastian Fritz-Morgenthal and Julia Hellmuth

Journal of Risk Management in Financial Institutions, 9:1 (2016), 71-84

Combining Latin hypercube sampling with other variance reduction techniques (.pdf)

Wilmott Magazine, 76:March (2015), 60-69.

Static hedging under maturity mismatch (.pdf)

with Philipp A. Mayer and Wolfgang M. Schmidt

Finance and Stochastics, 19:3 (2015), 509-539

Correlation under stress in normal variance mixture models (.pdf)

with Michael Kalkbrener

Mathematical Finance, 25:2 (2015), 426-456

Stress testing of credit portfolios in light- and heavy-tailed models (.pdf)

with Michael Kalkbrener

Journal of Risk Management in Financial Institutions,  8:1 (2015), 34-44

Model risk in incomplete markets with jumps  (.pdf)

with Nils Detering

in “Innovations in Quantitative Risk Management”

Series “Springer Proceedings in Mathematics & Statistics”, Volume 99, 2015 pp.39-56.

Credit gap risk in a first passage time model with jumps (.pdf)

with Lutz Schlögl and Wolfgang M. Schmidt

Quantitative Finance 13:12 (2013), 1871–1889

Competition, bonuses, and risk-taking in the banking industry (.pdf)

with Christina E. Bannier and Eberhard Feess

Review of Finance, 17 (2013), 653–690

International Banking Regulation and Supervision after the Crisis: Implications for China

with Helena Xiang Li and Horst Löchel

in “China’s Changing Banking Industry”, Frankfurt School Verlag, 2012

Latin hypercube sampling with dependence and applications in finance (.pdf)

with Wolfgang M. Schmidt

Journal of Computational Finance, 13:3 (2010), 81–111

Transport of context-based information in digital audio data (.pdf)

with Frank Kurth

AES Convention Papers, Los Angeles, 2000

Working papers

Structured climate financing: valuation of CDOs on inhomogeneous asset pools (.pdf)

Validierung von Konzepten zur Messung des Marktrisikos - insbesondere des Value at Risk und des Expected Shortfall (.pdf)

with Fabian Mehmke and Heinz Cremers, Frankfurt School Working Paper No. 192, 2012


Credit dynamics in a first-passage time model with jumps and Latin hypercube sampling with dependence (.pdf)

PhD thesis, Frankfurt School of Finance & Management, 2008

Correlation parameterization and calibration for the LIBOR market model (.pdf)

Master-Thesis, Frankfurt School of Finance & Management, 2005

Transport kontextbasierter Informationen innerhalb digitaler Audiodaten (.pdf, in German)

Diplomarbeit, Institut für Informatik, Uni Bonn, 2000


  1. Computational Finance and FinTech (Master)

  2. Derivatives Pricing in Theory and Practice (Master)

  3. Quantitative Empirical Methods (Master)

  4. Mathematics for Business and Economics (Bachelor)

  5. Statistics (Bachelor)

  6. Statistics II (Bachelor)

  7. Financial Engineering (Bachelor)

  8. International Asset Management (Master)

  9. Mathematical Problem Solving (Ph.D.)

  10. Principles of Finance (Master)

  11. Risk Management (Master)

  12. Arbitrage Theory (Master)

  13. Foundations of Risk Management and Market Risk (Executive Master)

  14. Risk Modelling (Master and Excec. Master)

  15. Effective C++ (Master Quant. Finance)

  16. Numerical computation with Octave (Master Quant. Finance)

  17. Foundations of Finance (Bachelor)


Associate editor for Methodology and Computing in Applied Probability

Associate editor for Review of Derivatives Research

Co-chair of the GARP Research Fellowship Advisory Board

Co-chair of the GARP Frankfurt Chapter

Associated Researcher with the International Research Training Group 1792 “High Dimensional Nonstationary Time Series”

Member of the Advisory Board of the Frankfurt Institute for Risk Management and Regulation (FIRM)

Associated Consulting Expert at MathFinance AG

Mathematics Genealogy (--> graph <--)

Blog entry about BIRS workshop “Approximation of High-Dimensional Numerical Problems”

Interview in “Risiko Manager” (in German)

Guest column in “International Bankers Forum” (in German)

© N. Packham, 2020