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

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

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

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

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



EMPLOYMENT

  1. Assistant Professor, Frankfurt School of Finance & Management, 2009–present

  2.   (one year parental leave)

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

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

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



RESEARCH INTERESTS

  1. Mathematical Finance, Financial Risk Management, Computational Finance, Extreme Value Theory, Contract Theory



RESEARCH


Peer-Reviewed Journal Articles

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

  2. Static hedging under maturity mismatch (with Philipp A. Mayer and Wolfgang M. Schmidt), Finance and Stochastics, 2015.

  3. Correlations under stress in normal variance mixture models (with Michael Kalkbrener), Mathematical Finance, 25:2 (2015), 426–456.

  4. Combining Latin hypercube sampling with other variance reduction techniques, Wilmott Magazine, 2015 (forthcoming).

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

  6. 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.

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

  8. 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

  1. Model risk in incomplete markets with jumps (with Nils Detering), in “Innovations in Quantitative Risk Management”, Series “Springer Proceedings in Mathematics & Statistics”, Vol. 99, pp. 39–56, 2015. (link)

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



Other Publications

  1. Credit portfolios under stress, in “Yearbook of the Frankfurt Institute of Risk Management and Regulation (FIRM)”, pp. 29–31, 2015.

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

  3. 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

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

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

  3. Model risk of contingent claims (with Nils Detering).



Work in Progress

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

  2. Structured climate financing (with Ulf Moslener)

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

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



RESEARCH FUNDING AND GRANTS

  1. Research grant, Europlace Institute of Finance, Paris, 2014–2015

  2. GARP Research Fellowship (Advisor), 2014

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

  4. Research grant, Frankfurt Institute for Risk Management and Regulation (FIRM), 1 PhD student position (Principal Investigator)

  5. Research grant, Europlace Institute of Finance, Paris, 2012–2013

  6. Research Fellowship, EU – China Business Management Training (BMT) Project, 2010–2012, funded by the EU and Government of the PeopleâĂŹs Republic of China



RESEARCH VISITS

  1. Banff International Research Station for Mathematical Innovation and Discovery (BIRS), Canada, September 2015

  2. Kent Business School, University of Kent, UK, October 2014

  3. Department for Analysis and Computational Number Theory, Technical University Graz, Austria, May 2010

  4. Visiting Academic, Aarhus School of Business, Aarhus University, Denmark, Nov. 2009

  5. Visiting Research Scientist, Département de Mathématique, Université d’Évry, July 2009



INVITED TALKS

  1. Invited speaker, 7th AMaMeF and Swissquote Conference, Lausanne, September 2015

  2. Invited panelist, MathFinance Conference, Frankfurt, March 2015

  3. Invited keynote speaker, McKinsey/FIRM Risk Management Innovation Platform, Frankfurt, March 2015

  4. Invited speaker, LBBW Controlling & Risk Management Forum, November 2014

  5. Invited seminar speaker, University of Kent, Canterbury, October 2014

  6. Invited speaker, GARP Meeting Frankfurt Chapter, September 2014

  7. Invited speaker, MathFinance Conference, Frankfurt, April 2014

  8. Invited seminar speaker, Le Séminaire Parisien de Validation des Modèles Financiers, January 2014

  9. Invited seminar speaker, University of Freiburg, January 2014

  10. Invited seminar speaker, Manchester Business School, October 2013

  11. Invited speaker, 11. Dresdner Risikotutorium, TU Dresden, July 2013

  12. Invited speaker, FIRM Research Conference, Frankfurt Institute of Risk Management and Regulation, Mainz, June 2013

  13. Invited speaker, conference “Gesamtbanksteuerung”, Frankfurt School, 2013

  14. Invited seminar speaker, Karlsruhe Institute of Technology, 2011

  15. Invited speaker, MathFinance Conference, Frankfurt, 2011

  16. Invited seminar speaker, Technical University of Graz, Austria, 2010

  17. Invited seminar speaker, Munich Technical University, 2009

  18. Invited seminar speaker, Universität Ulm, 2008 and 2009

  19. Invited seminar speaker, Fraunhofer ITWM (Institut für Techno- und Wirtschaftsmathematik), Kaiserslautern, 2008



CONFERENCE TALKS

  1. Extreme Events in Finance, ESSEC Conference, Paris, 2014

  2. 8th World Congress of the Bachelier Finance Society, Brussels, June 2014

  3. 20th Annual Meeting of the German Finance Association (DGF), Wuppertal, 2013

  4. “Risk Management Reloaded”, Munich, September 2013

  5. 3rd Int. Conference of the Financial Engineering and Banking Society, Paris, June 2013

  6. INFINITI Conference on International Finance, Aix-en-Provence, June 2013

  7. IMA Conference on Mathematics in Finance, Edinburgh, 2013

  8. Conference “Gesamtbanksteuerung”, Frankfurt School, 2013

  9. World Finance & Banking Symposium, Shanghai, 2012

  10. 19th Annual Meeting of the German Finance Association (DGF), Hanover, 2012

  11. European Economic Association, Malaga, 2012

  12. 12th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2011

  13. European Economic Association, Oslo, 2011

  14. 6th World Congress, Bachelier Finance Society, Toronto, 2010

  15. Risk Dependencies, Paris, 2010

  16. RiskMinds, Geneva, 2009

  17. 23rd European Conference on Operational Research, Bonn, 2009

  18. RiskCapital Brussels, 2009

  19. Third Conference on Numerical Methods in Finance, Paris, 2009

  20. Campus for Finance Research Conference, WHU, Vallendar, 2009

  21. 11th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2008

  22. SIAM Conference on Financial Mathematics & Engineering, New Jersey, 2008

  23. International Conference on Price, Liquidity and Credit Risk, Konstanz, 2008

  24. First European Summer School in Financial Mathematics, École Polytechnique, Paris, 2008

  25. Numerical Methods for Finance Conference, Dublin, 2008

  26. Quantitative Methods in Finance Conference, Sydney, 2007

  27. Advanced Mathematical Methods for Finance, Mid-term conference, Vienna, 2007

  28. Frankfurt Mathfinance Workshop, Frankfurt, 2007

  29. DGF Doktorandenseminar, European Business School, Oestrich-Winkel, 2006

  30. 109th Convention of the Audio Engineering Society, Los Angeles, 2000



MEDIA AND OTHER

  1. Risiko Manager, 20/2013, “Verzerrte Wahrnehmung des Gesamtrisikos durch Modellrisiken” (Interview, in German, web link)

  2. Girls’ day, open lecture, 2012, 2013

  3. n-tv, 5 Feb 2008



INDUSTRY COOPERATION

  1. Model validation for CEPH 2.0 (Common Eurosystem Pricing Hub, pricing system of all ECB-eligible bonds for the ECB and the Euro-area national central banks), Deutsche Bundesbank, since 2014

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

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

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

  5. 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, committee)

Dr. Stephen Taylor: Perturbation and Symmetry Techniques Applied to Finance (2010, committee)



PROFESSIONAL ACTIVITIES


Editorial activities

  1. Member of the Editorial Board of Journal of Risk and Control

  2. 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

  1. Academic Director of the concentration “Risk Management” in the Master of Finance programme, 2013–present

  2. Member of the Faculty Committee (Fakultätsrat), since 2014

  3. Member of the Doctoral Board (Promotionsausschuß), since 2010

  4. Member of the Curriculum Committee (Master of Finance), 2011-2014

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

  6. Involvement in accreditation processes (FIBAA, AACSB, EQUIS)



Conference Organisation

  1. 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

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



Professional Memberships

  1. Bachelier Finance Society

  2. Econometric Society

  3. EFA (European Finance Association)

  4. DGF (Deutsche Gesellschaft für Finanzwirtschaft, German Finance Association)

  5. Gesellschaft für Informatik (German Association for Computer Science)

  6. Member of the Editorial Board of the McKinsey/FIRM Innovation Platform



RELATED PROFESSIONAL SKILLS

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

  2. Finance-specific software applications: Bloomberg, Reuters

  3. Project management (training courses at former employers)

  4. Presentation and lecturing skills (training at Frankfurt School)

  5. Case method teaching seminar (Harvard Business Publishing)



LANGUAGES

  1. German: native, English: native, French: conversational



TEACHING

  1. Mathematical Problem Solving (Short lecture, PhD), 2015

  2. Quantitative Finance Research Colloquium (PhD-seminar), 2014

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

  4. Risk Management (Master), 2009, 2010, 2012, 2013, 2014, 2015

  5. Foundations of Risk Management and Market Risk (Executive Master), 2010, 2011, 2012, 2013, 2015

  6. Risk Modelling (Master and Excec. Master), 2010, 2011, 2012, 2013, 2014, 2015

  7. Arbitrage Theory (Master), 2014, 2015

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

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

  10. Foundations of Finance (Bachelor), 2009, 2010

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


Last updated: March 27, 2015