Prof.Dr. Natalie Packham

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

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.

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