Natalie Packham

 
 

I am Professor of Mathematics and Statistics at Berlin School of Economics and Law

(my webpage at BSEL).


My research interests are Mathematical Finance, Quantitative Risk Management, Computational Finance and Contract Theory.


My CV

My page at SSRN

My Google citations page

Some links


Publications

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, bibtex)
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, bibtex)
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, bibtex)
with Michael Kalkbrener
Mathematical Finance, 25:2 (2015), 426-456

Stress testing of credit portfolios in light- and heavy-tailed models (.pdf, bibtex)
with Michael Kalkbrener
Journal of Risk Management in Financial Institutions,  8:1 (2015), 34-44

Model risk in incomplete markets with jumps  (.pdf, bibtex)
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, bibtex)
with Lutz Schlögl and Wolfgang M. Schmidt
Quantitative Finance 13:12 (2013), 18711889

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

Optimal contracts under adverse selection, moral hazard and type-dependent reservation utilities (.pdf)

Incentive schemes, private information and the double-edged role of competition for agents (.pdf)
with Christina Bannier, Eberhard Feess and Markus Walzl

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



Theses

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


Teaching

  1. Mathematics for Business and Economics (Bachelor)

  2. Statistics (Bachelor)

  3. Statistics II (Bachelor)

  4. Financial Engineering (Bachelor)

  5. International Asset Management (Master)

  6. Mathematical Problem Solving (Ph.D.)

  7. Principles of Finance (Master)

  8. Risk Management (Master)

  9. Arbitrage Theory (Master)

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

  11. Risk Modelling (Master and Excec. Master)

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

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

  14. Foundations of Finance (Bachelor)


Miscellaneous

  1. Associate editor for Methodology and Computing in Applied Probability

  2. Co-chair of the GARP Research Fellowship Advisory Board

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

  4. Associated Consulting Expert at MathFinance AG

  5. Mathematics Genealogy

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

  7. Interview in “Risiko Manager” (in German)

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

© N. Packham, 2017