Natalie Elizabeth Packham

Department of Finance
Frankfurt School of Finance & Management
Sonnemannstr. 9–11
60314 Frankfurt am Main
Germany

Phone: +49 69 154008-723
Fax: +49 69 154008-4723
Email: n.packham@fs.de
Homepage: http://packham.net


EDUCATION

Ph.D. (Dr. rer. pol.) Finance, Frankfurt School of Finance & Management, 2009

M.A. Banking & Finance, Frankfurt School of Finance & Management, 2005

M.Sc. (Diplom) Computer Science, University of Bonn, 2000

B.Sc. (Vordiplom) Computer Science, University of Bonn, 1997



EMPLOYMENT

Assistant Professor, Frankfurt School of Finance & Management, 2009–present
        (one year parental leave, mid-term review completed in February 2013)

Research Assistant, Frankfurt School of Finance & Management, 2005–2009

Senior Software Engineer, Dresdner Kleinwort Wasserstein, Frankfurt and London, 2001– 2005

Positions at Robert Bosch GmbH, Artifical Life Deutschland AG and IBM Deutschland GmbH, 1997–2001


RESEARCH INTERESTS

Mathematical Finance, Financial Risk Management, Computational Finance, Contract Theory


RESEARCH

Peer-Reviewed Journal Articles

Static hedging under maturity mismatch (with Philipp A. Mayer and Wolfgang M. Schmidt), Finance and Stochastics, 2014 (forthcoming).

Correlations under stress in normal variance mixture models (with Michael Kalkbrener), Mathematical Finance, 2014 (forthcoming). http://onlinelibrary.wiley.com/doi/10.1111/mafi.12029/abstract

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


Other Peer-Reviewed Publications

Model risk in incomplete markets with jumps (with Nils Detering), in “Innovations in Quantitative Risk Management”, Series “Springer Proceedings in Mathematics & Statistics”, 2014 (forthcoming).

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


Other Publications

Model risk in the trading book, in “Yearbook of the Frankfurt Institute of Risk Management and Regulation (FIRM)”, pp. 42–43, 2014.

International Banking Regulation and Supervision after the Crisis: Implications for China (with Helena Xiang Li and Horst Löchel), in “China’s Changing Banking Industry”, eds. Chun Chang and Horst Löchel, Frankfurt School Verlag, 2012.


Papers Under Review

Incentive schemes, private information and the double-edged role of competition for workers (with Christina Bannier and Eberhard Feess).

Multivariate default probablities and default correlations under stress (with Michael Kalkbrener and Ludger Overbeck).

Stress testing of credit portfolios in light- and heavy-tailed models (with Michael Kalkbrener).

Combining Latin hypercube sampling with other variance reduction techniques.

Comparison of the Chinese offshore (CNH) and Chinese onshore (CNY) government yield curves (with Horst Löchel and Fabian Walisch).

Model risk of contingent claims (with Nils Detering).


Work in Progress

Lehrbuch der Arbitrage-Theorie (book project with Heinz Cremers)

Structured climate financing (with Ulf Moslener)

Tail-risk protection trading strategies (with Jochen Papenbrock and Peter Schwendner)

Risk management lessons from the “London Whale” – understanding relative size of trading positions (with Fabian Wöbbeking)


RESEARCH FUNDING AND GRANTS

GARP Research Fellowship (Advisor), 2014

Academic paper winner, Quant Congress USA, New York, 2013

Research grant, Frankfurt Institute for Risk Management and Regulation (FIRM), 2012– 2014, 1 PhD student position (Principal Investigator)

Research grant, Europlace Institute of Finance, Paris, 2012–2013, EUR 10,000

Research Fellowship, EU-China Business Management Training (BMT) Project, 2010-2012


RESEARCH VISITS

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 TALKS

Invited speaker, LBBW Controlling & Risk Management Forum, November 2014
Invited seminar speaker, University of Kent, Canterbury, October 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, 2013
Invited speaker, FIRM Research Conference, Frankfurt Institute of Risk Management and Regulation, Mainz, 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, Ulm University, 2008 and 2009
Invited seminar speaker, Fraunhofer ITWM (Institut für Techno- und Wirtschaftsmathematik), Kaiserslautern, 2008


CONFERENCE TALKS

(excludes talks by co-authors)

8th World Congress of the Bachelier Finance Society, Brussels, 2014
20th Annual Meeting of the German Finance Association (DGF), Wuppertal, 2013
“Risk Management Reloaded”, Munich, September 2013
3rd International Conference of the Financial Engineering and Banking Society, Paris, 2013 INFINITI Conference on International Finance, Aix-en-Provence, 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


MEDIA AND OTHER

Risiko Manager, 20/2013, “Verzerrte Wahrnehmung des Gesamtrisikos durch Modellrisiken” (Interview, in German)
Girls’ day, open lecture, 2012, 2013
n-tv, 5 Feb 2008


INDUSTRY COOPERATION

Research cooperation on stress testing of credit portfolios, with Risk Analytics & Instruments, Deutsche Bank AG, since 2009

Member of the Editorial Board of the McKinsey/FIRM Risk Management Innovation Platform, since 2012

Research cooperation on tail risk protection strategies, with PPI AG and Zurich University of Applied Sciences, since 2013

Research cooperation on credit gap risk, with Quantitative Credit Research, Lehman Brothers, 2005–2008


DOCTORAL DISSERTATION COMMITTEES

Dr. Nils Detering
Four contributions to quantitative financial risk management (2014, supervisor; now Postdoc at Dept. Mathematics, Univ. Munich)

Dr. Denis Karlow
Comparison and Development of Methods for Index Tracking (2013, co-supervisor)

Dr. Stephen Taylor
Perturbation and Symmetry Techniques Applied to Finance (2010, co-supervisor)


PROFESSIONAL ACTIVITIES

Editorial activities

Member of the Editorial Board of Journal of Risk and Control

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, Risk Magazine, Mathematical Reviews, Optimization Letters, European Journal of Operational Research, Springer Proceedings in Mathematics & Statistics, Springer Undergraduate Texts in Mathematics and Technology, Mathfinance Conference

Departmental / University Service

Academic Director of the concentration “Risk Management” in the Master of Finance programme, 2013–present
Member of the Faculty Committee (Fakultätsrat), since 2014
Member of the Doctoral Board (Promotionsausschuß), since 2010
Member of the Curriculum Committee (Master of Finance), since 2011
Interim Academic Director of the Master of Risk Management & Regulation, 2012 Involvement in accreditation processes (FIBAA, AACSB, EQUIS)

Conference Organisation

Research colloquium on “China’s Changing Finance Industry”, Shanghai, jointly organised by CEIBS (China Europe International Business School) and Frankfurt School of Finance & Management, Dec. 2012

Workshop on “Porfolio Models in Quantitative Risk Management”, jointly organised with Dr. Michael Kalkbrener, Deutsche Bank, April 2012

Professional Memberships

Bachelier Finance Society
Econometric Society
EFA (European Finance Association)
DGF (Deutsche Gesellschaft für Finanzwirtschaft, German Finance Association) Gesellschaft für Informatik (German Association for Computer Science) Member of the Editorial Board of the McKinsey/FIRM Innovation Platform


RELATED PROFESSIONAL SKILLS

Programming skills: Mathematica, Java, C++, C, C#, script languages (e.g. bash), Matlab, GNU Octave, GNU R, GNU gretl

Finance-specific software applications: Bloomberg, Reuters Project management (training courses at former employers) Presentation and lecturing skills (training at Frankfurt School) Case method teaching seminar (Harvard Business Publishing)


LANGUAGES

German: native, English: native, French: conversational


TEACHING

Quantitative Finance Research Colloquium (PhD-seminar), 2014

Principles of Finance (Master), 2009, 2011, 2012

Risk Management (Master), 2009, 2010, 2012, 2013, 2014

Foundations of Risk Management and Market Risk (Executive Master), 2010, 2011, 2012, 2013

Risk Modelling (Master and Excec. Master), 2010, 2011, 2012, 2013, 2014

Arbitrage Theory (Master), 2014

Effective C++ (Master Quant. Finance), 2009

Numerical computation with Octave (Master Quant. Finance), 2006, 2007, 2008, 2009

oundations of Finance (Bachelor), 2009, 2010

Introduction to Credit Derivatives (Master/Bachelor), ERASMUS teaching programme, IUP Nancy 2, France, 2008



Last updated: September 11, 2014