Natalie Packham

Berlin School of Economics and Law / Hochschule für Wirtschaft und Recht

Campus Schöneberg

Badensche Straße 52

10825 Berlin


Phone: +49 30 30877-1369




  1. Ph.D. (Dr. rer. pol.) Finance, Frankfurt School of Finance & Management, 2009

  2. M.A. Banking & Finance, Frankfurt School of Finance & Management, 2005

  3. M.Sc. (Diplom) Computer Science, University of Bonn, 2000

  4. B.Sc. (Vordiplom) Computer Science, University of Bonn, 1997


  1. Professor of Mathematics and Statistics, Berlin School of Economics and Law, since 2016

  2. Principal Investigator and Associated Researcher within the International Research Training Group 1792 “High Dimensional Non-Stationary Time Series”, Humboldt University Berlin, 2018-2023

  3. Assistant Professor, Frankfurt School of Finance & Management, 2009–2016
    (one year parental leave)

  4. Research Assistant, Frankfurt School of Finance & Management, 2005–2009

  5. Senior Software Engineer, Dresdner Kleinwort Wasserstein, Frankfurt and London, 2001–2005

  6. Positions at Robert Bosch GmbH, Artifical Life Deutschland AG and IBM Deutschland GmbH, 1997–2001


  1. Mathematical Finance, Financial Risk Management, Computational Finance, Extreme Value Theory, Cryptocurrencies, Machine Learning in Finance


Peer-Reviewed Journal Articles

  1. Risk factor aggregation and stress testing. Quantitative Finance, forthcoming.

  2. The effect of governance quality on future economic growth: An analysis and comparison of emerging market and developed economies (with Luana Enikö Misi Lopes, Ursula Walther), SN Business & Economics, 3 (108), 2023.

  3. Hedging Cryptos with Bitcoin Futures (with Francis Liu, Meng-Jou Lu, Wolfgang K. Härdle), Quantitative Finance, 23 (5), 819-841, 2023..

  4. Hedging cryptocurrency options (with Jovanka Matic and Wolfgang K. Härdle), Review of Derivatives Research, 26, pages 91–133 (2023).

  5. Correlation scenarios and correlation stress testing (with Fabian Woebbeking), Journal of Economic Behavior and Organization, 205 (2023), 55-67.

  6. Structured climate financing: valuation of CDOs on inhomogeneous asset pools, SN Business & Economics, 1:4 (2021), 1-23.

  7. Differentiation and risk aversion in imperfectly competitive labor markets (with Christina Bannier, Eberhard Feess and Markus Walzl), Journal of Institutional and Theoretical Economics, 177:1 (2021), 1-27.

  8. A factor-model approach for correlation scenarios and correlation stress-testing (with Fabian Woebbeking), Journal of Banking and Finance, 101 (2019), 92-103.

  9. Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present, Statistics and Probability Letters, 137 (2018), 99-104.

  10. Tail-risk protection trading strategies (with Jochen Papenbrock, Peter Schwendner and Fabian Wöbbeking), Quantitative Finance, 7:5 (2017), 729-744.

  11. Model risk of contingent claims (with Nils Detering), Quantitative Finance, 16:9 (2016), 1357-1374.

  12. Asymptotic behaviour of multivariate default probabilities and default correlations under stress (with Michael Kalkbrener and Ludger Overbeck), Journal of Applied Probability, 53:1 (2016), 71–81.

  13. Determinants of the onshore and offshore Chinese government yield curves (with Horst Löchel and Fabian Walisch), Pacific-Basin Finance Journal, 36 (2016), 77–93.

  14. Does risk culture matter? – The relationship between risk culture indicators and stress test results (with Sebastian Fritz-Morgenthal and Julia Hellmuth), Journal of Risk Management in Financial Institutions, 9:1 (2016), 71–84.

  15. Static hedging under maturity mismatch (with Philipp A. Mayer and Wolfgang M. Schmidt), Finance and Stochastics, 19:3 (2015), 509–539.

  16. Correlations under stress in normal variance mixture models (with Michael Kalkbrener), Mathematical Finance, 25:2 (2015), 426–456.

  17. Combining Latin hypercube sampling with other variance reduction techniques, Wilmott Magazine, 76:March (2015), 60–69.

  18. Stress testing of credit portfolios in light- and heavy-tailed models (with Michael Kalkbrener), Journal of Risk Management in Financial Institutions, 8:1 (2015).

  19. Credit gap risk in a first passage time model with jumps (with Lutz Schlögl and Wolfgang M. Schmidt), Quantitative Finance, 13:12 (2013), 1871–1889.

  20. Competition, bonuses, and risk-taking in the banking industry (with Christina E. Bannier and Eberhard Feess), Review of Finance, 17 (2013), 653–690.

  21. Latin hypercube sampling with dependence and applications in finance (with Wolfgang M. Schmidt), Journal of Computational Finance, 13:3 (2010), 81–111.

Other Peer-Reviewed Publications

  1. Model risk in incomplete markets with jumps (with Nils Detering), in “Innovations in Quantitative Risk Management”, Series “Springer Proceedings in Mathematics & Statistics”, Vol. 99, pp. 39–56, 2015. (link)

  2. Transport of context-based information in digital audio data (with Frank Kurth), AES Convention Papers, Los Angeles, 2000.

Other Publications

  1. A factor-model approach for correlation scenarios and correlation stress testing in “Year- book of the Frankfurt Institute of Risk Management and Regulation (FIRM)”, pp. 153–155, 2019.

  2. Die Vermessung der Risikokultur (with Sebastian Fritz-Morgenthal and Julia Hellmuth), die bank, July 2016.

  3. Credit portfolios under stress, in “Yearbook of the Frankfurt Institute of Risk Management and Regulation (FIRM)”, pp. 29–31, 2015.

  4. Model risk in the trading book, in “Yearbook of the Frankfurt Institute of Risk Management and Regulation (FIRM)”, pp. 42–43, 2014.

  5. International Banking Regulation and Supervision after the Crisis: Implications for China (with Helena Xiang Li and Horst Löchel), in “China’s Changing Banking Industry”, eds. Chun Chang and Horst Löchel, Frankfurt School Verlag, 2012.

Papers Under Review

  1. A Markov approach to credit rating migration conditional on economic states (with Michael Kalkbrener)

  2. Multi-step delegation and the frequency of immoral decisions: Theory and experiment (with Frauke von Bieberstein and Eberhard Feess)

Work in Progress

  1. Jump risk premia in the presence of clustered jumps (with Francis Liu and Artur Sepp)


  1. Research grant, Frankfurt Institute for Risk Management and Regulation (FIRM), 1 PhD student position, Principal Investigator, 2025-2027

  2. Research grant, IFAF Verbund, Principal Investigator, in cooperation with HTW Berlin, 2023-2025.

  3. Research grant, IFAF Explorativ, Principal Investigator, 2022-2023.

  4. Research grant, German Science Foundation (DFG), IRTG 1792, Principal Investigator, 2020-2022.

  5. Research grant, Frankfurt Institute for Risk Management and Regulation (FIRM),  Principal Investigator, 2016-2019

  6. FIRM Research Prize (supervisor, 3rd place), 2016

  7. Research grant, Europlace Institute of Finance, Paris, 2014–2015

  8. GARP Research Fellowship (Advisor), 2014, 2015

  9. Academic paper winner, Quant Congress USA, New York, 2013

  10. Research grant, Frankfurt Institute for Risk Management and Regulation (FIRM), 1 PhD student position, Principal Investigator, 2012-2014

  11. Research grant, Europlace Institute of Finance, Paris, 2012–2013

  12. Research Fellowship, EU – China Business Management Training (BMT) Project, 2010–2012, funded by the EU and Government of the People’s Republic of China

  13. Student travel award, Society for Industrial and Applied Mathematics (SIAM), 2008


  1. Visiting Researcher, Institute of Mathematics and Statistics, Vienna University of Economics and Business, Vienna, January 2020

  2. Visiting Researcher, Department of Statistics and Applied Probability, University of California, Santa Barbara, October 2018

  3. Visiting Professor, Mathematics Department, Baruch College, New York, February 2017

  4. Banff International Research Station for Mathematical Innovation and Discovery (BIRS), Canada, September 2015

  5. Kent Business School, University of Kent, UK, October 2014

  6. Department for Analysis and Computational Number Theory, Technical University Graz, Austria, May 2010

  7. Visiting Academic, Aarhus School of Business, Aarhus University, Denmark, Nov. 2009

  8. Visiting Research Scientist, Département de Mathématique, Université d’Évry, July 2009


  1. Invited speaker, Mathfinance Conference, Burg Reichenstein, September 2024

  2. Invited speaker, DVFA Learn@Lunch, June 2024

  3. Invited session speaker, 17th International Conference Computational and Financial Econometrics (CFE), Berlin, December 2023

  4. Invited speaker, Annual Quant Insights Conference, November 2023

  5. Invited panelist, FinTech of the Future, Conference of the Transfer Week Berlin-Brandenburg, November 2023

  6. Invited speaker, DVFA Learn@Lunch, October 2023

  7. Invited speaker, Stat of ML, Prague, October 2023

  8. Invited speaker, Second Workshop on Recent Trends in Quantitative Finance, Stony Brook, NY, October 2023

  9. Invited session speaker, 6th International Conference on Econometrics and Statistics, Waseda University, Tokyo, August 2023

  10. Invited speaker, Fields CFI Workshop on Quantitative Wealth Management, Fields Institute, Toronto, May 2023

  11. Invited speaker, Quantitative Finance Conference in Honour of Michael Dempster's 85th Birthday, Cambridge, April 2023

  12. Invited speaker, CQF Institute Conference, March 2023

  13. Invited speaker, Mathfinance Conference, Frankfurt, March 2023

  14. Invited speaker, Crypto Diversity Workshop, Copenhagen, November 2022

  15. Invited speaker, Cboe Options Insights Webinar, September 2022

  16. Invited speaker, Volatility Investing, London, April 2022

  17. Invited speaker, Mathfinance Conference, March 2022

  18. Invited speaker, 6th COST conference on AI in Industry and Finance, Zurich University of Applied Science, September 2021

  19. Invited speaker, 1st Victoria Peak Conference, Hong Kong University of Science and Technology \& Humboldt University Berlin, April 2021

  20. Invited speaker, Mathfinance Conference, March 2021

  21. Invited seminar speaker, Climate Finance & Economics Workshop, University of Sussex, March 2021

  22. Invited seminar speaker, CQF Institute, March 2021

  23. Invited seminar speaker, FAST Seminar, University of Sussex, November 2020

  24. Invited speaker, Mathfinance Conference, August 2020

  25. Invited seminar speaker, Institute for Statistics and Mathematics, Vienna University of Economics and Business, January 2020

  26. Hilda-Geiringer Lecture, Humboldt University Berlin, November 2018

  27. Invited speaker, CFMAR Seminar, UCSB, Santa Barbara, October 2018

  28. IRTG short course, Humboldt University, Buckow, October 2018

  29. Invited session speaker, CFE-CMStatistics 2017, London, December 2017

  30. Invited speaker, Artificial Intelligence in Industry and Finance Conference, Zurich University of Applied Sciences, Winterthur, Switzerland, September 2017

  31. Invited seminar speaker, Economic risk seminar, Humboldt University, May 2017

  32. Invited speaker, Mathfinance Conference, Frankfurt, April 2017

  33. Invited seminar speaker, Stochastic Analysis and Stochastic Finance Seminar, Technical University Berlin / Humboldt University Berlin, October 2016

  34. Invited speaker, Scientific Morning Conference, Institut Europlace de Finance / Louis Bachelier, Paris, March 2016

  35. Invited speaker, 12th Workshop on Stochastic analysis and its applications, Prague, January 2016

  36. Invited speaker, 7th AMaMeF and Swissquote Conference, Lausanne, September 2015

  37. Invited panelist, MathFinance Conference, Frankfurt, March 2015

  38. Invited keynote speaker, McKinsey/FIRM Risk Management Innovation Platform, Frankfurt, March 2015

  39. Invited speaker, LBBW Controlling & Risk Management Forum, November 2014

  40. Invited seminar speaker, University of Kent, Canterbury, October 2014

  41. Invited speaker, GARP Meeting Frankfurt Chapter, September 2014

  42. Invited speaker, MathFinance Conference, Frankfurt, April 2014

  43. Invited seminar speaker, Le Séminaire Parisien de Validation des Modèles Financiers, January 2014

  44. Invited seminar speaker, University of Freiburg, January 2014

  45. Invited seminar speaker, Manchester Business School, October 2013

  46. Invited speaker, 11. Dresdner Risikotutorium, TU Dresden, July 2013

  47. Invited speaker, FIRM Research Conference, Frankfurt Institute of Risk Management and Regulation, Mainz, June 2013

  48. Invited speaker, conference “Gesamtbanksteuerung”, Frankfurt School, 2013

  49. Invited seminar speaker, Karlsruhe Institute of Technology, 2011

  50. Invited speaker, MathFinance Conference, Frankfurt, 2011

  51. Invited seminar speaker, Technical University of Graz, Austria, 2010

  52. Invited seminar speaker, Munich Technical University, 2009

  53. Invited seminar speaker, Universität Ulm, 2008 and 2009

  54. Invited seminar speaker, Fraunhofer ITWM (Institut für Techno- und Wirtschaftsmathematik), Kaiserslautern, 2008


  1. 12th World Congress of the Bachelier Finance Society, Rio de Janeiro, July 2024

  2. 27th Annual Meeting of the German Finance Association (DGF), Innsbruck, October 2021

  3. Vienna Congress on Mathematical Finance, Vienna, September 2019

  4. 10th World Congress of the Bachelier Finance Society, Dublin, July 2018

  5. 9th World Congress of the Bachelier Finance Society, New York, July 2016

  6. 22nd Annual Meeting of the German Finance Association (DGF), Leipzig, 2015

  7. 32nd International Conference of the French Finance Association, Paris, France, 2015

  8. Extreme Events in Finance, ESSEC Conference, Paris, 2014

  9. 8th World Congress of the Bachelier Finance Society, Brussels, June 2014

  10. 20th Annual Meeting of the German Finance Association (DGF), Wuppertal, 2013

  11. “Risk Management Reloaded”, Munich, September 2013

  12. 3rd Int. Conference of the Financial Engineering and Banking Society, Paris, June 2013

  13. INFINITI Conference on International Finance, Aix-en-Provence, June 2013

  14. IMA Conference on Mathematics in Finance, Edinburgh, 2013

  15. Conference “Gesamtbanksteuerung”, Frankfurt School, 2013

  16. World Finance & Banking Symposium, Shanghai, 2012

  17. 19th Annual Meeting of the German Finance Association (DGF), Hanover, 2012

  18. European Economic Association, Malaga, 2012

  19. 12th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2011

  20. European Economic Association, Oslo, 2011

  21. 6th World Congress, Bachelier Finance Society, Toronto, 2010

  22. Risk Dependencies, Paris, 2010

  23. RiskMinds, Geneva, 2009

  24. 23rd European Conference on Operational Research, Bonn, 2009

  25. RiskCapital Brussels, 2009

  26. Third Conference on Numerical Methods in Finance, Paris, 2009

  27. Campus for Finance Research Conference, WHU, Vallendar, 2009

  28. 11th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2008

  29. SIAM Conference on Financial Mathematics & Engineering, New Jersey, 2008

  30. International Conference on Price, Liquidity and Credit Risk, Konstanz, 2008

  31. First European Summer School in Financial Mathematics, École Polytechnique, Paris, 2008

  32. Numerical Methods for Finance Conference, Dublin, 2008

  33. Quantitative Methods in Finance Conference, Sydney, 2007

  34. Advanced Mathematical Methods for Finance, Mid-term conference, Vienna, 2007

  35. Frankfurt Mathfinance Workshop, Frankfurt, 2007

  36. DGF Doktorandenseminar, European Business School, Oestrich-Winkel, 2006

  37. 109th Convention of the Audio Engineering Society, Los Angeles, 2000


  1. Risiko Manager, 20/2013, “Verzerrte Wahrnehmung des Gesamtrisikos durch Modellrisiken” (Interview, in German, web link)

  2. Girls’ day, open lecture, 2012, 2013

  3. n-tv, 5 Feb 2008


  1. Research project on Explainable Machine Learning, Scope Ratings GmbH and Upvest GmbH, 2023-2025

  2. Member of the Advisory Board of the Frankfurt Institute of Risk Management and Regulation (FIRM), since 2016

  3. Model validation for CEPH 2.0 (Common Eurosystem Pricing Hub, pricing system of all ECB-eligible bonds for the ECB and the Euro-area national central banks), Deutsche Bundesbank, 2014-2016

  4. Co-chair of the GARP Research Fellowship Advisory Board, since 2015

  5. Co-chair of the GARP Frankfurt Chapter, since 2014

  6. Member of the Editorial Board of the McKinsey/FIRM Risk Management Innovation Platform, since 2012

  7. Research cooperation on stress testing of credit portfolios, with Risk Analytics & Instruments, Deutsche Bank AG, since 2009

  8. Research cooperation on tail risk protection strategies, with PPI AG and Zurich University of Applied Sciences, 2013-2015

  9. Research cooperation on credit gap risk, with Quantitative Credit Research, Lehman Brothers, 2005–2008


Ongoing: Sami Alkhoury, Justin Hellermann

Dr. Francis Liu: Cryptocurrency Market: Hedging, Options, and Loans (2024, supervisor; Humboldt University)

Dr. Jovanka Lili Matic: Towards explainable technologies: Understanding risk drivers in the crypto market, and assessing variable importance with missing values (2024, second supervisor, Humboldt University)

Dr. Fabian Wöbbeking: Essays in Risk and Finance (2019, supervisor, Goethe University; now Assisant Professor at IWH Halle)

Dr. Nils Detering: Four contributions to quantitative financial risk management (2014, supervisor; Associated Professor (tenured), UCSB; now: Professor of Financial and Actuarial Mathematics at Univ. Duesseldorf)

Dr. Bruno Spilak, Dissertation committee, 2023, Humboldt University

Dr. Danial Saef, Dissertation committee, 2023, Humboldt University

Dr. Antoine Savine, Modern Computational Finance: AAD and Parallel Simulations (2018, Dissertation committee, Univ. Copenhagen)

Dr. Lykke Rasmussen, Computational Finance - on the search for performance (2016, Dissertation committee, Univ. Copenhagen)

Dr. Denis Karlow: Comparison and Development of Methods for Index Tracking (2013, co-supervisor, Frankfurt School)

Dr. Stephen Taylor: Perturbation and Symmetry Techniques Applied to Finance (2010, co-supervisor, Frankfurt School)


Editorial activities

  1. Associate Editor, Quantitative Finance, since 2023

  2. Associate Editor, Methodology and Computing in Applied Probability (Springer), since 2016

  3. Associate Editor. Review of Derivatives Research (Springer), since 2018

  4. Associate Editor. Digital Finance (Springer), since 2020

  5. Guest Editor, Digital Finance (Springer Journal), for Special Issue on Machine Learning, 2020

  6. Co-editor of the Newsletter of the Bachelier Finance Society, since 2018

  7. Reviewer for Mathematical Finance, Finance & Stochastics, Review of Finance<, Quantitative Finance, Journal of Banking & Finance, Journal of Computational Finance, Journal of Risk, Journal of Credit Risk, Insurance Mathematics and Economics, International Journal of Theoretical and Applied Finance, European Journal of Applied Mathematics, Journal of Futures Markets, Risk Magazine, Mathematical Reviews, Optimization Letters, European Journal of Operational Research, Computational Statistics, Economics and Business Letters, Springer Proceedings in Mathematics & Statistics, Springer Undergraduate Texts in Mathematics and Technology, Mathfinance Conference

Departmental / University Service

  1. Head of the Statistical Methods Training Programme (Methodenwerkstatt Statistik), Berlin School of Economics and Law, since 2022

  2. Vice Dean, Department of Business and Economics, Berlin School of Economics and Law, 2021-2023

  3. Member of the Academic Senate, since 2019

  4. Member of the Research Committee, since 2021

  5. Deputy Member of the Faculty Committee, since 2019

  6. Deputy Member of the Research Committee, 2019-2021

  7. Member of the Research Committee, Department of Business and Economics, 2018-2020

  8. Head of the Faculty Education Committee (Ausbildungskommission), Department of Business and Economics, Berlin School of Economics & Law, 2018-19

  9. Academic Director of the concentration “Risk Management” in the Master of Finance programme, Frankfurt School, 2013–2016

  10. Member of the Faculty Committee (Fakultätsrat), Frankfurt School, 2014-2016

  11. Member of the Doctoral Board (Promotionsausschuß), Frankfurt School, 2010-2016

  12. Member of the Curriculum Committee (Master of Finance), Frankfurt School, 2011-2014

  13. Interim Academic Director of the Master of Risk Management & Regulation, 2012

  14. Involvement in accreditation processes (FIBAA, AACSB, EQUIS)

Conference Organisation

  1. Symposium on “Blockchain and Cryptocurrencies”, MathFinance Conference, Frankfurt, April 2019

  2. Research colloquium on “China’s Changing Finance Industry”, Shanghai, jointly organised by CEIBS (China Europe International Business School) and Frankfurt School of Finance & Management, Dec. 2012

  3. Workshop on “Porfolio Models in Quantitative Risk Management”, jointly organised with Dr. Michael Kalkbrener, Deutsche Bank, April 2012

Professional Memberships

  1. Bachelier Finance Society

  2. Econometric Society

  3. EFA (European Finance Association)

  4. DGF (Deutsche Gesellschaft für Finanzwirtschaft, German Finance Association)

  5. Gesellschaft für Informatik (German Association for Computer Science)

  6. Member of the Editorial Board of the McKinsey/FIRM Innovation Platform


  1. Programming skills: Mathematica, Java, C++, C, C#, script languages (e.g. bash), Matlab, GNU Octave, GNU R, GNU gretl

  2. Finance-specific software applications: Bloomberg, Reuters

  3. Project management (training courses at former employers)

  4. Presentation and lecturing skills (training at Frankfurt School)

  5. Case method teaching seminar (Harvard Business Publishing)


  1. German: native, English: native, French: conversational


  1. Capital Markets (Bachelor), since 2024

  2. Game Theory and Strategic Decision-Making (Bachelor), 2021-2023

  3. Statistics of Finance (Bachelor), since 2021

  4. Computational Finance and FinTech (Master), since 2019

  5. Corporate Finance / Advanced Coroprate Finance (Master), 2018-2019

  6. Derivatives Pricing in Theory and Practice (Master), 2018

  7. Quantitative Empirical Methods (Master), since 2017

  8. Mathematics for Business and Economics (Bachelor), since 2016

  9. Statistik / Statistics (Bachelor), since 2016

  10. Statistik 2 (Bachelor), since 2017

  11. Management of International Asset Portfolios (Master), 2016, 2021

  12. Financial Engineering (Bachelor), 2016-2018

  13. Mathematical Problem Solving (Short lecture, PhD), 2015

  14. Quantitative Finance Research Colloquium (PhD-seminar), 2014

  15. Principles of Finance (Master), 2009, 2011, 2012

  16. Risk Management (Master), 2009, 2010, 2012, 2013, 2014, 2015

  17. Foundations of Risk Management and Market Risk (Executive Master), 2010, 2011, 2012, 2013, 2015

  18. Risk Modelling (Master and Excec. Master), 2010, 2011, 2012, 2013, 2014, 2015, 2016

  19. Arbitrage Theory (Master), 2014, 2015, 2017

  20. Effective C++ (Master Quant. Finance), 2009

  21. Numerical computation with Octave (Master Quant. Finance), 2006, 2007, 2008, 2009

  22. Foundations of Finance (Bachelor), 2009, 2010

  23. Introduction to Credit Derivatives (Master/Bachelor), ERASMUS teaching programme, IUP Nancy 2, France, 2008

Last updated: 1 July 2024