Natalie Packham |
| I am Professor of Mathematics and Statistics at Berlin School of Economics and Law. Prior to that 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. |
My CV |
Risk factor aggregation and stress testing, Quantitative Finance, forthcoming (webpage and pdf). The effect of governance quality on future economic growth: An analysis and comparison of emerging market and developed economies Hedging Cryptos with Bitcoin Futures Hedging cryptocurrency options Correlation scenarios and correlation stress testing (webpage and pdf) Structured climate financing: valuation of CDOs on inhomogeneous asset pools (.pdf) Differentiation and risk aversion in imperfectly competitive labor markets. (.pdf) A factor-model approach for correlation scenarios and correlation stress-testing (.pdf) Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present. (.pdf) Tail-risk protection trading strategies (.pdf) Model risk of contingent claims. (.pdf) Asymptotic behaviour of multivariate default probabilities and default correlations under stress (.pdf) Determinants of the onshore and offshore Chinese Government yield curves (.pdf) Does risk culture matter? - The relationship between risk culture indicators and stress test results. (webpage) Combining Latin hypercube sampling with other variance reduction techniques (.pdf) Static hedging under maturity mismatch (.pdf) Correlation under stress in normal variance mixture models (.pdf) Stress testing of credit portfolios in light- and heavy-tailed models (.pdf) Model risk in incomplete markets with jumps (.pdf) Credit gap risk in a first passage time model with jumps (.pdf) Competition, bonuses, and risk-taking in the banking industry (.pdf) International Banking Regulation and Supervision after the Crisis: Implications for China Latin hypercube sampling with dependence and applications in finance (.pdf) Transport of context-based information in digital audio data |
Working papers A Markov approach to credit rating migration conditional on economic states (webpage and pdf), Validierung von Konzepten zur Messung des Marktrisikos - insbesondere des Value at Risk und des Expected Shortfall (.pdf) |
Credit dynamics in a first-passage time model with jumps and Latin hypercube sampling with dependence (.pdf) |
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Head of Methodenwerkstatt Statistik (Statistics Methods Workshops) at HWR Berlin |
