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

Papers Under Review

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

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

Default probabilities and default correlations under stress (with Michael Kalkbrener and Ludger Overbeck), submitted.

Measuing the model risk of contingent claims (with Nils Detering), submitted.

Determinants of the onshore and offshore Chinese Government yield curves (with Horst Löchel and Fabian Walisch), 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

Structured climate finance (with Ulf Moslener)

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

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

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 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

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

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, 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
Foundations of Finance (Bachelor), 2009, 2010


DOCTORAL DISSERTATION COMMITTEES

Stephen Taylor (2011), Denis Karlow (2013)


PROFESSIONAL ACTIVITIES

Service to Profession

Reviewer for Mathematical Finance, Finance & Stochastics, Mathematical Finance, Review of Finance, Quantitative Finance, Journal of Computational Finance, Journal of Credit Risk, Risk Magazine, Mathematical Reviews, Optimization Letters, European Journal of Operational Research, Springer Undergraduate Texts in Mathematics and Technology

Departmental / University Service

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

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

LANGUAGES

German: native
English: native
French: conversational


Last updated: March 7, 2014



© N. Packham, 2014