Prof. Dr. Natalie Packham
Department of Business and Economics
Professor for Mathematics and Statistics
T: +49 (0)30 30877-1369
Room B 3.47
Badensche Straße 50-51
Hochschule für Wirtschaft und Recht Berlin
Badensche Straße 52
- Since 03/2016 – Professor of Mathematics and Statistics at Berlin School of Economics and Law
- 2009-2016 – Assistant Professor of Quantitative Finance, Frankfurt School of Finance & Management
- 2009 – PhD (Dr. rer.pol.), Quantitative Finance, Frankfurt School of Finance & Management
- 2005-2009 – Research Associate, Frankfurt School of Finance & Management
- 2005 – M.A. in Banking & Finance, Frankfurt School of Finance & Management
- 2001-2005 – Senior Software Engineer, Front Office, Dresdner Kleinwort Wasserstein, Frankfurt & London
- 2000 – M.Sc. (Diplom) in Computer Science, University of Bonn
- 1997-2001 – Various positions at Robert Bosch GmbH, Artificial Life Deutschland AG, IBM Deutschland GmbH
- Research Grants (Europlace, FIRM)
- Academic Paper Winner, Quant Congress USA, New York 2013
- Research Fellowship, EU – China Business Management Training (BMT), 2010-2012, funded by the EU and the Government of the People’s Republic of China
- Research visits: Baruch College (New York), Banff International Research Station for Mathematical Discovery, University of Kent, Technical Universtiy Graz, Aarhus University, Université d’Evry
- Various industry cooperations (Deutsche Bundesbank, Deutsche Bank, Lehman Brothers)
- Associate Editor for Methodology and Computing in Applied Probability (Springer Journal)
- Member of the Advisory Board of the Frankfurt Institute of Risk Management and Regulation (FIRM)
- Associated Consulting Expert at MathFinance AG
- Co-Chair of the GARP Research Fellowship Advisory Board (GARP=Global Association of Risk Professionals)
- Editorial Board member of the McKinsey/FIRM Risk Management Innovation Platform
- Mathematical Finance and Stochastics
- Risk Management
- Computational Finance
- Software Engineering
- Mathematics, Quantitative Methods
- Statistics and Probability Theory
- Financial Engineering
- Risk Management, Risk Modelling
- Mathematical Finance
- Probability Theory and Stochastic Calculus
- Extreme Value Theory
- Risk Management
- Computational Finance
- Tail-risk protection trading strategies (with Jochen Papenbrock, Peter Schwender, Fabian Wöbbeking), Quantitative Finance, 17:5 (2017), 729-744.
- Model risk of contingent claims (with Nils Detering), Quantitative Finance , 16:9 (2016), 1357-1374.
- Asymptotic behaviour of multivariate default probabilities and default correlations under stress (with Michael Kalkbrener and Ludger Overbeck), Journal of Applied Probability, 53:1, 2016 (forthcoming).
- Determinants of the onshore and offshore Chinese government yield curves (with Horst Löchel and Fabian Walisch), Pacific-Basin Finance Journal, 36 (2016), 77–93.
- 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 Insitutions, 9:1, 2016.
- Static hedging under maturity mismatch (with Philipp A. Mayer and Wolfgang M. Schmidt), Finance and Stochastics, 19:3 (2015), 509-539.
- Correlations under stress in normal variance mixture models (with Michael Kalkbrener), Mathematical Finance, 25:2 (2015), 426–456.
- Combining Latin hypercube sampling with other variance reduction techniques, Wilmott Magazine, 76:March (2015), 60-69.
- Stress testing of credit portfolios in light- and heavy-tailed models (with Michael Kalkbrener), Journal of Risk Management in Financial Institutions, 8:1 (2015), 34-44.
- 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)
- 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.
- Competition, bonuses, and risk-taking in the banking industry (with Christina E. Bannier and Eberhard Feess), Review of Finance, 17 (2013), 653–690.
- Latin hypercube sampling with dependence and applications in finance (with Wolfgang M. Schmidt), Journal of Computational Finance, 13:3 (2010), 81–111.