Photo by Frank Witte    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 page at SSRN
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My Google citations page


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
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, .pdf)

Hedging cryptocurrency options
with Jovanka Matic and Wolfgang K. Härdle
Review of Derivatives Research, 26 (2023), 91-133. (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 (.pdf)
with Jochen Papenbrock, Peter Schwendner and Fabian Woebbeking
Quantitative Finance, 17:5 (2017), 729-744.

Model risk of contingent claims. (.pdf)
with Nils Detering
Quantitative Finance, 16:9 (2016), 1357-1374

Asymptotic behaviour of multivariate default probabilities and default correlations under stress (.pdf)
with Michael Kalkbrener and Ludger Overbeck
Journal of Applied Probability, 53:1 (2016), 71-81

Determinants of the onshore and offshore Chinese Government yield curves (.pdf)
with Horst Löchel and Fabian Walisch
Pacific-Basin Finance Journal, 36:February (2016), 77-93

Does risk culture matter? - The relationship between risk culture indicators and stress test results. (webpage)
with Sebastian Fritz-Morgenthal and Julia Hellmuth
Journal of Risk Management in Financial Institutions, 9:1 (2016), 71-84

Combining Latin hypercube sampling with other variance reduction techniques (.pdf)
Wilmott Magazine, 76:March (2015), 60-69.

Static hedging under maturity mismatch (.pdf)
with Philipp A. Mayer and Wolfgang M. Schmidt
Finance and Stochastics, 19:3 (2015), 509-539

Correlation under stress in normal variance mixture models (.pdf)
with Michael Kalkbrener
Mathematical Finance, 25:2 (2015), 426-456

Stress testing of credit portfolios in light- and heavy-tailed models (.pdf)
with Michael Kalkbrener
Journal of Risk Management in Financial Institutions, 8:1 (2015), 34-44

Model risk in incomplete markets with jumps (.pdf)
with Nils Detering
in "Innovations in Quantitative Risk Management"
Series "Springer Proceedings in Mathematics & Statistics", Volume 99, 2015 pp.39-56.

Credit gap risk in a first passage time model with jumps (.pdf)
with Lutz Schlögl and Wolfgang M. Schmidt
Quantitative Finance 13:12 (2013), 1871-1889

Competition, bonuses, and risk-taking in the banking industry (.pdf)
with Christina E. Bannier and Eberhard Feess
Review of Finance, 17 (2013), 653-690

International Banking Regulation and Supervision after the Crisis: Implications for China
with Helena Xiang Li and Horst Löchel
in "China's Changing Banking Industry", Frankfurt School Verlag, 2012

Latin hypercube sampling with dependence and applications in finance (.pdf)
with Wolfgang M. Schmidt
Journal of Computational Finance, 13:3 (2010), 81-111

Transport of context-based information in digital audio data
with Frank Kurth
AES Convention Papers, Los Angeles, 2000

Working papers

A Markov approach to credit rating migration conditional on economic states (webpage and pdf),
with Michael Kalkbrener

Validierung von Konzepten zur Messung des Marktrisikos - insbesondere des Value at Risk und des Expected Shortfall (.pdf)
with Fabian Mehmke and Heinz Cremers, Frankfurt School Working Paper No. 192, 2012


Credit dynamics in a first-passage time model with jumps and Latin hypercube sampling with dependence (.pdf)
PhD thesis, Frankfurt School of Finance & Management, 2008

Correlation parameterization and calibration for the LIBOR market model (.pdf)
Master-Thesis, Frankfurt School of Finance & Management, 2005

Transport kontextbasierter Informationen innerhalb digitaler Audiodaten (in German)
Diplomarbeit, Institut für Informatik, Uni Bonn, 2000


  • 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)


Head of Methodenwerkstatt Statistik (Statistics Methods Workshops) at HWR Berlin
Associate Editor for Quantitative Finance
Associate editor for Methodology and Computing in Applied Probability
Associate editor for Review of Derivatives Research
Associate editor for Digital Finance (Springer)
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)
Orchester Friedenau

© N. Packham, 2023