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 and Game Theory RESEARCH Peer-Reviewed Journal Articles Correlations under stress in normal variance mixture models (with Michael Kalkbrener), Mathematical Finance, 2013 (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, 2013 (forthcoming). http://www.tandfonline.com/doi/full/10.1080/14697688.2012.739729 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 Papers Under Review Combining Latin hypercube sampling with other variance reduction techniques, submitted. Incentive schemes, private information and the double-edged role of competition for work- ers (with Christina Bannier and Eberhard Feess), submitted. Static hedging under maturity mismatch (with Philipp A. Mayer and Wolfgang M. Schmidt), submitted. Other Publications 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 Transport of context-based information in digital audio data (with Frank Kurth), AES Convention Papers, Los Angeles, 2000. Work in Progress Measuring the model risk of contingent claims (with Nils Detering), working paper. Comparison of the Chinese offshore (CNH) and Chinese onshore (CNY) government yield curves (with Horst Löchel and Fabian Walisch), working paper. Default probabilities under stress in normal variance mixture models (with Michael Kalk- brener and Ludger Overbeck) Capital-market based financing of renewable energy investment projects (with Rüdiger Kiesel and Ulf Moslener) An axiomatic approach to systemic risk (with Peter Raupach and Amirhossein Sadoghi) RESEARCH FUNDING AND GRANTS Research grant, Frankfurt Institute for Risk Management and Regulation (FIRM), 2012– 2014, 1 PhD student position Research grant, Europlace Institute of Finance, Paris, 2012–2013, EUR 10,000 RESEARCH VISITS 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, 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 Wirtschaftsmathe- matik), Kaiserslautern, 2008 CONFERENCE TALKS (excludes talks by co-authors) 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 TEACHING Lectures Credit Risk Models (Executive Education, Certified Credit Risk Manager), 2013 Principles of Finance (Master), 2009, 2011, 2012 Risk Management (Master), 2009, 2010, 2012, 2013 Foundations of Risk Management and Market Risk (Executive Master), 2010, 2011, 2012 Risk Modelling (Master and Excec. Master), 2010, 2011, 2012 Effective C++ (Master Quant. Finance), 2009 Numerical computation with Octave (Master Quant. Finance), 2006, 2007, 2008, 2009 Foundations of Finance (Bachelor), 2009, 2010 DOCTORAL DISSERTATION COMMITTEES Stephen Taylor (2011), Denis Karlow (2013) PROFESSIONAL ACTIVITIES Service to Profession Reviewer for Finance & Stochastics, Quantitative Finance, Journal of Computational Fi- nance, Journal of Credit Risk, Risk Magazine, Mathematical Reviews, Optimization Letters, European Journal of Operational Research, Springer Undergraduate Texts in Mathematics and Technology, Mathfinance Conference (Organiser of poster sessions in 2010 and 2012), DGF conference reviewer (2012), EFMA Programme Committee (2010) Departmental / University Service Academic Director of the concentration “Risk Management” in the Master of Finance pro- gramme, 2013–present Member of the PhD Committee (2010–present) Member of the Curriculum Committee (Master of Finance), 2011–present Interim Academic Director of the Master of Risk Management & Regulation, 2012 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 “Portfolio Models in Quantitative Risk Management”, jointly organised with Dr. Michael Kalkbrener, Deutsche Bank, April 2010 Professional Memberships Bachelier Finance Society  Econometric Society 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 Project management (training courses at former employers) Presentation and lecturing skills (training at Frankfurt School) LANGUAGES German: native  English: native  French: conversational Last updated: April 17, 2013 © N. Packham, 2013

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 and Game Theory

RESEARCH

Peer-Reviewed Journal Articles

Correlations under stress in normal variance mixture models (with Michael Kalkbrener), Mathematical Finance, 2013 (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, 2013 (forthcoming). http://www.tandfonline.com/doi/full/10.1080/14697688.2012.739729

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

Papers Under Review

Combining Latin hypercube sampling with other variance reduction techniques, submitted.

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

Static hedging under maturity mismatch (with Philipp A. Mayer and Wolfgang M. Schmidt), submitted.

Other Publications

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

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

Work in Progress

Measuring the model risk of contingent claims (with Nils Detering), working paper.

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

Default probabilities under stress in normal variance mixture models (with Michael Kalk- brener and Ludger Overbeck)

Capital-market based financing of renewable energy investment projects (with Rüdiger Kiesel and Ulf Moslener)

An axiomatic approach to systemic risk (with Peter Raupach and Amirhossein Sadoghi)

RESEARCH FUNDING AND GRANTS

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

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

RESEARCH VISITS

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, 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 Wirtschaftsmathe- matik), Kaiserslautern, 2008

CONFERENCE TALKS

(excludes talks by co-authors)
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

TEACHING

Lectures

Credit Risk Models (Executive Education, Certified Credit Risk Manager), 2013

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

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

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

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

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

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

Foundations of Finance (Bachelor), 2009, 2010

DOCTORAL DISSERTATION COMMITTEES

Stephen Taylor (2011), Denis Karlow (2013)

PROFESSIONAL ACTIVITIES

Service to Profession

Reviewer for Finance & Stochastics, Quantitative Finance, Journal of Computational Fi- nance, Journal of Credit Risk, Risk Magazine, Mathematical Reviews, Optimization Letters, European Journal of Operational Research, Springer Undergraduate Texts in Mathematics and Technology, Mathfinance Conference (Organiser of poster sessions in 2010 and 2012), DGF conference reviewer (2012), EFMA Programme Committee (2010)

Departmental / University Service

Academic Director of the concentration “Risk Management” in the Master of Finance pro- gramme, 2013–present

Member of the PhD Committee (2010–present)

Member of the Curriculum Committee (Master of Finance), 2011–present

Interim Academic Director of the Master of Risk Management & Regulation, 2012

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 “Portfolio Models in Quantitative Risk Management”, jointly organised with Dr. Michael Kalkbrener, Deutsche Bank, April 2010

Professional Memberships

Bachelier Finance Society
Econometric Society
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

Project management (training courses at former employers) Presentation and lecturing skills (training at Frankfurt School)

LANGUAGES

German: native
English: native
French: conversational

Last updated: April 17, 2013