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Prof. Dr. Natalie Packham

Department of Business and Economics

Professor for Mathematics and Statistics

Quantitative Methods


T: +49 (0)30 30877-1369

Visitor's address

Campus Schöneberg

Building B

Room B 3.47

Badensche Straße 50-51

10825 Berlin

Postal address



Hochschule für Wirtschaft und Recht Berlin

Campus Schöneberg

Badensche Straße 52

10825 Berlin


Academic and Professional Career
  • 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


External relations
  • 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


Expert for
  • Mathematical Finance and Stochastics
  • Risk Management
  • Computational Finance
  • Software Engineering


Key Aspects in Teaching
  • Mathematics, Quantitative Methods
  • Statistics and Probability Theory
  • Financial Engineering
  • Risk Management, Risk Modelling


Research Projects and Fields
  • Mathematical Finance
  • Probability Theory and Stochastic Calculus
  • Extreme Value Theory
  • Risk Management
  • Computational Finance


Selected, current Publications
  • 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.