Prof.Dr. Natalie Packham

Seit 03/2016 – Professorin für Wirtschaftsmathematik und Statistik an der Hochschule für Wirtschaft und Recht Berlin

2009-2016 – Juniorprofessorin für Quantitative Finance, Frankfurt School of Finance & Management

2009 – Promotion, Quantitative Finance, Frankfurt School of Finance & Management

2005-2009 – Research Associate, Frankfurt School of Finance & Management

2005 – Master of Arts in Banking & Finance, Frankfurt School of Finance & Management

2001-2005 – Senior Software Engineer, Front Office, Dresdner Kleinwort Wasserstein, Frankfurt & London

2000 – Diplom in Informatik, Universität Bonn

1997-2001 – Verschiedene Positionen bei Robert Bosch GmbH, Artificial Life Deutschland AG, IBM Deutschland GmbH

Finanzmathematik und Stochastik

Risikomanagement

Computational Finance

Software Engineering

Mathematik und Quantitative Methoden

Statistik und Wahrscheinlichkeitstheorie

Financial Engineering

Risikomanagement und -modellierung

Finanzmathematik

Wahrscheinlichkeitstheorie und Stochastische Analysis

Extremwerttheorie

Risikomanagement

Computational Finance

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

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

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

Differentiation and risk aversion in imperfectly competitive labor markets. (.pdf) 
with Christina Bannier, Eberhard Feess and Markus Walzl.
Journal of Institutional and Theoretical Economics, 177:1 (2021), 1-27.

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

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

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.

Forschungsaufenthalte: Baruch College (New York), Banff International Research Station for Mathematical Discovery, University of Kent, TU Graz, Aarhus University, Université d’Evry

Diverse Industriekooperationen (Deutsche Bundesbank, Deutsche Bank, Lehman Brothers)

Associate Editor for Methodology and Computing in Applied Probability (Springer Journal)

Mitglied des Beirats des Frankfurter Instituts für Risikomanagement und Regulierung (FIRM)

Associated Consulting Expert at MathFinance AG

Co-Chair des GARP Research Fellowship Advisory Board (GARP=Global Association of Risk Professionals)

Mitglied des Editorial Board der McKinsey/FIRM Risk Management Innovation Platform