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, Bayesian Statistics


Peer-Reviewed Journal Articles

  1. 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, forthcoming.

  2. Hedging Cryptos with Bitcoin Futures (with Francis Liu, Meng-Jou Lu, Wolfgang K. Härdle), Quantitative Finance, forthcoming.

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

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

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

  6. 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.

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

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

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

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

  11. 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.

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

  13. 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.

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

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

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

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

  18. 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.

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

  20. 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

Work in Progress

  1. Credit rating migration processes based on economic state-dependent transition matrices (with Michael Kalkbrener)


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

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

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

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

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

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

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

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

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

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

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

  12. 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, Fields CFI Workshop on Quantitative Wealth Management, Fields Institute, Toronto, May 2023

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

  3. Invited speaker, CQF Institute Conference, March 2023

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

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

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

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

  8. Invited speaker, Mathfinance Conference, March 2022

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

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

  11. Invited speaker, Mathfinance Conference, March 2021

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

  13. Invited seminar speaker, CQF Institute, March 2021

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

  15. Invited speaker, Mathfinance Conference, August 2020

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  41. Invited speaker, MathFinance Conference, Frankfurt, 2011

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

  43. Invited seminar speaker, Munich Technical University, 2009

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

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


  1. 27th Annual Meeting of the German Finance Association (DGF), Innsbruck, October 2021

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

  3. 10th World Congress of the Bachelier Finance Society, Dublin, July 2018

  4. 9th World Congress of the Bachelier Finance Society, New York, July 2016

  5. 22nd Annual Meeting of the German Finance Association (DGF), Leipzig, 2015

  6. 32nd International Conference of the French Finance Association, Paris, France, 2015

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

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

  9. 20th Annual Meeting of the German Finance Association (DGF), Wuppertal, 2013

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

  11. 3rd Int. Conference of the Financial Engineering and Banking Society, Paris, June 2013

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

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

  14. Conference “Gesamtbanksteuerung”, Frankfurt School, 2013

  15. World Finance & Banking Symposium, Shanghai, 2012

  16. 19th Annual Meeting of the German Finance Association (DGF), Hanover, 2012

  17. European Economic Association, Malaga, 2012

  18. 12th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2011

  19. European Economic Association, Oslo, 2011

  20. 6th World Congress, Bachelier Finance Society, Toronto, 2010

  21. Risk Dependencies, Paris, 2010

  22. RiskMinds, Geneva, 2009

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

  24. RiskCapital Brussels, 2009

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

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

  27. 11th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2008

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

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

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

  31. Numerical Methods for Finance Conference, Dublin, 2008

  32. Quantitative Methods in Finance Conference, Sydney, 2007

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

  34. Frankfurt Mathfinance Workshop, Frankfurt, 2007

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

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

  2. 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

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

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

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

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

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

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


Ongoing: Francis Liu, Jovanka Lili Matic, Bruno Spilak, Justin Hellermann, Danial Saef

Dr. Fabian Wöbbeking: Essays in Risk and Finance (2019, supervisor, Goethe University)

Dr. Nils Detering: Four contributions to quantitative financial risk management (2014, supervisor; now Assistant Professor, UCSB)

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 Workshops (Methodenwerkstatt Statistik), Berlin School of Economics and Law, since 2022

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

  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, since 2018

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

  9. Member of the Research Committee, Department of Business and Economics, Berlin School of Economics & Law, since 2018

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

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

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

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

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

  15. 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. Game Theory and Strategic Decision-Making (Bachelor), since 2021

  2. Statistics of Finance (Bachelor), since 2021

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

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

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

  6. Quantitative Empirical Methods (Master), since 2017

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

  8. Statistik / Statistics (Bachelor), since 2016

  9. Statistik 2 (Bachelor), since 2017

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

  11. Financial Engineering (Bachelor), 2016-2018

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

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

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

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

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

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

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

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

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

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

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

Last updated: 3 March 2023