Prof. Dr. Natalie Packham

• About 
• Career
• Publications
• Working papers
• Research funding and grants
• Research visits
• Invited and conference talks
• Professional activities
• Teaching
• Miscellaneous

Prior to joining HWR Berlin as Professor of Mathematics and Statistics, I was Assistant Professor of Quantitative Finance at Frankfurt School of Finance & Management, and I spent several years in the investment banking industry. I am also Principal Researcher within the International Research Training Group "High Dimensional Nonstationary Time Series" (IRTG 1792) at Humboldt University Berlin.

My main research interests are Mathematical Finance, Financial Risk Management, Computational Finance, Cryptocurrencies and Bayesian Statistics.

See also:

www.packham.net
SSRN
arxiv.org
Google citations page

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

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, 3 (108), 2023. (webpage and pdf). 

Hedging Cryptos with Bitcoin Futures (with Francis Liu, Meng-Jou Lu, Wolfgang K. Härdle),
Quantitative Finance, 23 (5), 819-841, 2023. (webpage)

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

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

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

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. (pdf) 

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

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

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. (webpage)

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. (pdf)

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.

• Credit rating migration processes based on economic state-dependent transition matrices (webpage and pdf), with Michael Kalkbrener
• Risk factor aggregation and stress testing (webpage and pdf)

• Research grant, IFAF Verbund, Principal Investigator, with HTW Berlin, 2023-2025.
• Research grant, IFAF Explorativ, Principal Investigator, 2022-2023.
• Research grant, German Science Foundation (DFG), IRTG 1792, Principal Investigator, with Humboldt University, 2020-2022.
• Research grant, Frankfurt Institute for Risk Management and Regulation (FIRM),  Principal Investigator, 2016-2019
• FIRM Research Prize (supervisor, 3rd place), 2016
• Research grant, Europlace Institute of Finance, Paris, 2014–2015
• GARP Research Fellowship (Advisor), 2014, 2015
• Academic paper winner, Quant Congress USA, New York, 2013
• Research grant, Frankfurt Institute for Risk Management and Regulation (FIRM), 1 PhD student position, Principal Investigator, 2012-2014
• Research grant, Europlace Institute of Finance, Paris, 2012–2013
• Research Fellowship, EU – China Business Management Training (BMT) Project, 2010–2012, funded by the EU and Government of the People’s Republic of China
• Student travel award, Society for Industrial and Applied Mathematics (SIAM), 2008

• Visiting Researcher, Institute of Mathematics and Statistics, Vienna University of Economics and Business, Vienna, January 2020
• Visiting Researcher, Department of Statistics and Applied Probability, University of California, Santa Barbara, October 2018
• Visiting Professor, Mathematics Department, Baruch College, New York, February 2017
• Banff International Research Station for Mathematical Innovation and Discovery (BIRS), Canada, September 2015
• Kent Business School, University of Kent, UK, October 2014
• Department for Analysis and Computational Number Theory, Technical University Graz, Austria, May 2010
• Visiting Academic, Aarhus School of Business, Aarhus University, Denmark, Nov. 2009
• Visiting Research Scientist, Département de Mathématique, Université d’Évry, July 2009

• Invited session speaker, 17th International Conference Computational and Financial Econometrics (CFE), Berlin, December 2023
• Invited speaker, Annual Quant Insights Conference, November 2023
• Invited speaker, DVFA Learn@Lunch, October 2023
• Invited speaker, Stat of ML, Prague, October 2023
• Invited speaker, Second Workshop on Recent Trends in Quantitative Finance, Stony Brook, NY, October 2023
• Invited session speaker, 6th International Conference on Econometrics and Statistics, Waseda University, Tokyo, August 2023
• Invited speaker, Forschungsseminar Mathematik, HTW Berlin, July 2023
• Invited speaker, Fields CFI Workshop on Quantitative Wealth Management, Fields Institute, Toronto, May 2023
• Invited speaker, Quantitative Finance Conference in Honour of Michael Dempster's 85th Birthday, Cambridge, April 2023
• Invited speaker, CQF Conference, March 2023
• Invited speaker, Mathfinance Conference, March 2023
• Invited speaker, Crypto Diversity Workshop, Copenhagen, November 2022
• Invited speaker, Cboe Options Insights Webinar, September 2022
• Invited speaker, Volatility Investing, London, April 2022
• Invited speaker, Mathfinance Conference, March 2022
• Invited speaker, 6th COST conference on AI in Industry and Finance, Zurich University of Applied Science, September 2021
• Invited speaker, 1st Victoria Peak Conference, Hong Kong University of Science and Technology & Humboldt University Berlin, April 2021
• Invited speaker, Mathfinance Conference, March 2021
• Invited seminar speaker, Climate Finance & Economics Workshop, University of Sussex, March 2021
• Invited seminar speaker, CQF Institute, March 2021
• Invited seminar speaker, FAST Seminar, University of Sussex, November 2020
• Invited speaker, Mathfinance Conference, August 2020
• Invited seminar speaker, Institute for Statistics and Mathematics, Vienna University of Economics and Business, January 2020
• Hilda-Geiringer Lecture, Humboldt University Berlin, November 2018
• Invited speaker, CFMAR Seminar, UCSB, Santa Barbara, October 2018
• IRTG short course, Humboldt University, Buckow, October 2018
• Invited session speaker, CFE-CMStatistics 2017, London, December 2017
• Invited speaker, Artificial Intelligence in Industry and Finance Conference, Zurich University of Applied Sciences, Winterthur, Switzerland, September 2017
• Invited seminar speaker, Economic risk seminar, Humboldt University, May 2017
• Invited speaker, Mathfinance Conference, Frankfurt, April 2017
• Invited seminar speaker, Stochastic Analysis and Stochastic Finance Seminar, Technical University Berlin / Humboldt University Berlin, October 2016
• Invited speaker, Scientific Morning Conference, Institut Europlace de Finance / Louis Bachelier, Paris, March 2016
• Invited speaker, 12th Workshop on Stochastic analysis and its applications, Prague, January 2016
• Invited speaker, 7th AMaMeF and Swissquote Conference, Lausanne, September 2015
• Invited panelist, MathFinance Conference, Frankfurt, March 2015
• Invited keynote speaker, McKinsey/FIRM Risk Management Innovation Platform, Frankfurt, March 2015
• Invited speaker, LBBW Controlling & Risk Management Forum, November 2014
• Invited seminar speaker, University of Kent, Canterbury, October 2014
• Invited speaker, GARP Meeting Frankfurt Chapter, September 2014
• Invited speaker, MathFinance Conference, Frankfurt, April 2014
• Invited seminar speaker, Le Séminaire Parisien de Validation des Modèles Financiers, January 2014
• Invited seminar speaker, University of Freiburg, January 2014
• Invited seminar speaker, Manchester Business School, October 2013
• Invited speaker, 11. Dresdner Risikotutorium, TU Dresden, July 2013
• Invited speaker, FIRM Research Conference, Frankfurt Institute of Risk Management and Regulation, Mainz, June 2013
• Invited speaker, conference “Gesamtbanksteuerung”, Frankfurt School, 2013
• Invited seminar speaker, Karlsruhe Institute of Technology, 2011
• Invited speaker, MathFinance Conference, Frankfurt, 2011
• Invited seminar speaker, Technical University of Graz, Austria, 2010
• Invited seminar speaker, Munich Technical University, 2009
• Invited seminar speaker, Universität Ulm, 2008 and 2009
• Invited seminar speaker, Fraunhofer ITWM (Institut für Techno- und Wirtschaftsmathematik), Kaiserslautern, 2008

Conference talks:

• 12th World Congress of the Bachelier Finance Society, Rio de Janeiro, July 2024
• 27th Annual Meeting of the German Finance Association (DGF), Innsbruck, October 2021
• Vienna Congress on Mathematical Finance, Vienna, September 2019
• 10th World Congress of the Bachelier Finance Society, Dublin, July 2018
• 9th World Congress of the Bachelier Finance Society, New York, July 2016
• 22nd Annual Meeting of the German Finance Association (DGF), Leipzig, 2015
• 32nd International Conference of the French Finance Association, Paris, France, 2015
• Extreme Events in Finance, ESSEC Conference, Paris, 2014
• 8th World Congress of the Bachelier Finance Society, Brussels, June 2014
• 20th Annual Meeting of the German Finance Association (DGF), Wuppertal, 2013
• “Risk Management Reloaded”, Munich, September 2013
• 3rd Int. Conference of the Financial Engineering and Banking Society, Paris, June 2013
• INFINITI Conference on International Finance, Aix-en-Provence, June 2013
• IMA Conference on Mathematics in Finance, Edinburgh, 2013
• Conference “Gesamtbanksteuerung”, Frankfurt School, 2013
• World Finance & Banking Symposium, Shanghai, 2012
• 19th Annual Meeting of the German Finance Association (DGF), Hanover, 2012
• European Economic Association, Malaga, 2012
• 12th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2011
• European Economic Association, Oslo, 2011
• 6th World Congress, Bachelier Finance Society, Toronto, 2010
• Risk Dependencies, Paris, 2010
• RiskMinds, Geneva, 2009
• 23rd European Conference on Operational Research, Bonn, 2009
• RiskCapital Brussels, 2009
• Third Conference on Numerical Methods in Finance, Paris, 2009
• Campus for Finance Research Conference, WHU, Vallendar, 2009
• 11th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2008
• SIAM Conference on Financial Mathematics & Engineering, New Jersey, 2008
• International Conference on Price, Liquidity and Credit Risk, Konstanz, 2008
• First European Summer School in Financial Mathematics, École Polytechnique, Paris, 2008
• Numerical Methods for Finance Conference, Dublin, 2008
• Quantitative Methods in Finance Conference, Sydney, 2007
• Advanced Mathematical Methods for Finance, Mid-term conference, Vienna, 2007
• Frankfurt Mathfinance Workshop, Frankfurt, 2007
• DGF Doktorandenseminar, European Business School, Oestrich-Winkel, 2006
• 109th Convention of the Audio Engineering Society, Los Angeles, 2000

Editorial activities

• Associate Editor, Quantitative Finance, since 2023
• Associate Editor, Methodology and Computing in Applied Probability (Springer), since 2016
• Associate Editor. Review of Derivatives Research (Springer), since 2018
• Associate Editor. Digital Finance (Springer), since 2020
• Guest Editor, Digital Finance (Springer Journal), for Special Issue on Machine Learning, 2020
• Co-editor of the Newsletter of the Bachelier Finance Society, since 2018
• 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

• Vice Dean, Department of Business and Economics, Berlin School of Economics and Law, since 2021
• Member of the Academic Senate, since 2019
• Member of the Research Committee, since 2021
• Deputy Member of the Faculty Committee, since 2019
• Deputy Member of the Research Committee, 2019-2021
• Member of the Research Committee, Department of Business and Economics, since 2018
• Head of the Faculty Education Committee (Ausbildungskommission), Department of Business and Economics, Berlin School of Economics & Law, 2018-19
• Member of the Research Committee, Department of Business and Economics, Berlin School of Economics & Law, since 2018
• Academic Director of the concentration “Risk Management” in the Master of Finance programme, Frankfurt School, 2013–2016
• Member of the Faculty Committee (Fakultätsrat), Frankfurt School, 2014-2016
• Member of the Doctoral Board (Promotionsausschuß), Frankfurt School, 2010-2016
• Member of the Curriculum Committee (Master of Finance), Frankfurt School, 2011-2014
• Interim Academic Director of the Master of Risk Management & Regulation, 2012
• Involvement in accreditation processes (FIBAA, AACSB, EQUIS)

• Statistische Methoden in Finance (Bachelor)
• Game Theory and Strategic Decision-Making (Bachelor)
• Computational Finance and FinTech (Master)
• Derivatives Pricing in Theory and Practice (Master)
• Quantitative Empirical Methods (Master)
• Mathematics for Business and Economics (Bachelor)
• Statistics (Bachelor)
• Statistics II (Bachelor)
• Financial Engineering (Bachelor)
• International Asset Management (Master)
• Mathematical Problem Solving (Ph.D.)
• Principles of Finance (Master)
• Risk Management (Master)
• Arbitrage Theory (Master)
• Foundations of Risk Management and Market Risk (Executive Master)
• Risk Modelling (Master and Excec. Master)
• Effective C++ (Master Quant. Finance)
• Numerical computation with Octave (Master Quant. Finance)
• Foundations of Finance (Bachelor)

Co-Head of the Methodenwerkstatt Statistik / Statistical Methods Workshops at HWR Berlin
Co-chair of the GARP Research Fellowship Advisory Board
Co-chair of the GARP Frankfurt Chapter
Principal Researcher with the International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Member of the Advisory Board of the Frankfurt Institute for Risk Management and Regulation (FIRM)
Associated Consulting Expert at MathFinance AG
Mathematics Genealogy (--> graph <--)
CQF Institute Podcast "Could Correlation-Based Risk Management Prevent 'London Whale' Size Losses?""
Blog entry about BIRS workshop "Approximation of High-Dimensional Numerical Problems"
Interview in "Risiko Manager" (in German)