Natalie Packham


Berlin School of Economics and Law / Hochschule für Wirtschaft und Recht

Campus Schöneberg

Badensche Straße 52

10825 Berlin

Germany

Phone: +49 30 30877-1369

Email: natalie.packham@hwr-berlin.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 AND AFFILIATIONS

  1. Professor of Mathematics and Statistics, Berlin School of Economics and Law, since 2016

  2. Assistant Professor, Frankfurt School of Finance & Management, 2009–2016
    (one year parental leave)

  3. Associated Researcher with the International Research Training Group 1792 “High Dimensional Non-Stationary Time Series”, Humboldt University Berlin, since 2018

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

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

  6. 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. Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present, Statistics and Probability Letters, 137 (2018), 99-104.

  2. Tail-risk protection trading strategies (with Jochen Papenbrock, Peter Schwendner and Fabian Wöbbeking), Quantitative Finance, 7:5 (2017), 729-744.

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

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

  5. Determinants of the onshore and offshore Chinese government yield curves (with Horst Löchel and Fabian Walisch), Pacific-Basin Finance Journal, 36 (2016), 77–93.

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

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

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

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

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

  11. 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.

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

  13. 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. Die Vermessung der Risikokultur (with Sebastian Fritz-Morgenthal and Julia Hellmuth), die bank, July 2016.

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

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

  4. 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, Eberhard Feess and Markus Walzl), R&R.

  2. A factor-model approach for correlation scenarios and correlation stress-testing (with Fabian Woebbeking), R&R.



Work in Progress

  1. Credit rating migration processes based on economic state-dependent transition matrices (with Michael Kalkbrener)

  2. Credit risk stress testing - a unified approach capturing eonomic, systemic and statistical features (with Wolfgang K. Härdle)



RESEARCH FUNDING AND GRANTS

  1. Research grant, Frankfurt Institute for Risk Management and Regulation (FIRM),  Principal Investigator, 2016-2018

  2. FIRM Research Prize (supervisor, 3rd place), 2016

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

  4. GARP Research Fellowship (Advisor), 2014, 2015

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

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

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

  8. Research Fellowship, EU – China Business Management Training (BMT) Project, 2010–2012, funded by the EU and Government of the People’s Republic of China

  9. Student travel award, Society for Industrial and Applied Mathematics (SIAM), 2008



RESEARCH VISITS

  1. Visiting Researcher, Department of Statistics and Applied Probability, University of California, Santa Barbara, October 2018

  2. Visiting Professor, Mathematics Department, Baruch College, New York, February 2017

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

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

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

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

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



INVITED TALKS

  1. Hilda-Geiringer Lecture, Humboldt University Berlin, November 2018

  2. Invited speaker, CFMAR Seminar, UCSB, Santa Barbara, October 2018

  3. IRTG short course, Humboldt University, Buckow, October 2018

  4. Invited session speaker, CFE-CMStatistics 2017, London, December 2017

  5. Invited speaker, Artificial Intelligence in Industry and Finance Conference, Zurich University of Applied Sciences, Winterthur, Switzerland, September 2017

  6. Invited seminar speaker, Economic risk seminar, Humboldt University, May 2017

  7. Invited speaker, Mathfinance Conference, Frankfurt, April 2017

  8. Invited seminar speaker, Stochastic Analysis and Stochastic Finance Seminar, Technical University Berlin / Humboldt University Berlin, October 2016

  9. Invited speaker, Scientific Morning Conference, Institut Europlace de Finance / Louis Bachelier, Paris, March 2016

  10. Invited speaker, 12th Workshop on Stochastic analysis and its applications, Prague, January 2016

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  25. Invited speaker, MathFinance Conference, Frankfurt, 2011

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

  27. Invited seminar speaker, Munich Technical University, 2009

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

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



CONFERENCE TALKS

  1. 10th World Congress of the Bachelier Finance Society, Dublin, July 2018

  2. 9th World Congress of the Bachelier Finance Society, New York, July 2016

  3. 22nd Annual Meeting of the German Finance Association (DGF), Leipzig, 2015

  4. 32nd International Conference of the French Finance Association, Paris, France, 2015

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

  6. 8th World Congress of the Bachelier Finance Society, Brussels, June 2014

  7. 20th Annual Meeting of the German Finance Association (DGF), Wuppertal, 2013

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

  9. 3rd Int. Conference of the Financial Engineering and Banking Society, Paris, June 2013

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

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

  12. Conference “Gesamtbanksteuerung”, Frankfurt School, 2013

  13. World Finance & Banking Symposium, Shanghai, 2012

  14. 19th Annual Meeting of the German Finance Association (DGF), Hanover, 2012

  15. European Economic Association, Malaga, 2012

  16. 12th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2011

  17. European Economic Association, Oslo, 2011

  18. 6th World Congress, Bachelier Finance Society, Toronto, 2010

  19. Risk Dependencies, Paris, 2010

  20. RiskMinds, Geneva, 2009

  21. 23rd European Conference on Operational Research, Bonn, 2009

  22. RiskCapital Brussels, 2009

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

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

  25. 11th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2008

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

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

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

  29. Numerical Methods for Finance Conference, Dublin, 2008

  30. Quantitative Methods in Finance Conference, Sydney, 2007

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

  32. Frankfurt Mathfinance Workshop, Frankfurt, 2007

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

  34. 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. Member of the Advisory Board of the Frankfurt Institute of Risk Management and Regulation (FIRM), since 2016

  2. 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, 2014-2016

  3. Co-chair of the GARP Research Fellowship Advisory Board, since 2015

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

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

  6. Research cooperation on tail risk protection strategies, with PPI AG and Zurich University of Applied Sciences, 2013-2015

  7. 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 Assistant Professor, UCSB)

Dr. Antoine Savine, Modern Computational Finance: AAD and Parallel Simulations (2018, Dissertation committee, Univ. Copenhagen)

Dr. Lykke Rasmussen, Computational Finance - on the search for performance (2016, Dissertation committee, Univ. Copenhagen)

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

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



PROFESSIONAL ACTIVITIES



Editorial activities

  1. Associate Editor, Methodology and Computing in Applied Probability, since 2016

  2. Associate Editor. Review of Derivatives Research, since 2018

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

  4. 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, Insurance Mathematics and Economics, International Journal of Theoretical and Applied Finance, European Journal of Applied Mathematics, Journal of Futures Markets, Risk Magazine, Mathematical Reviews, Optimization Letters, European Journal of Operational Research, Computational Statistics, Economics and Business Letters, Springer Proceedings in Mathematics & Statistics, Springer Undergraduate Texts in Mathematics and Technology, Mathfinance Conference



Departmental / University Service

  1. Member of the Research Committee, Department of Business and Economics, Berlin School of Economics & Law, since 2018

  2. Member of the Education/Teaching committee (Ausbildungskommission), Department of Business and Economics, Berlin School of Economics & Law, since 2018

  3. Academic Director of the concentration “Risk Management” in the Master of Finance programme, Frankfurt School, 2013–2016

  4. Member of the Faculty Committee (Fakultätsrat), Frankfurt School, 2014-2016

  5. Member of the Doctoral Board (Promotionsausschuß), Frankfurt School, 2010-2016

  6. Member of the Curriculum Committee (Master of Finance), Frankfurt School, 2011-2014

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

  8. 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. FinTech and Computational Finance (Master), 2019

  2. Corporate Finance / Advanced Coroprate Finance (Master), 2018, 2019

  3. Quantitative Empirical Methods (Master), 2017, 2019

  4. Mathematics for Business and Economics (Bachelor), 2016, 2017

  5. Statistik / Statistics (Bachelor), 2016, 2017, 2018

  6. Statistik 2 (Bachelor), 2017, 2018, 2019

  7. Quantitative Empirical Methods (Master), 2017, 2019

  8. Management of International Asset Portfolios (Master), 2016

  9. Financial Engineering (Bachelor), 2016, 2017, 2018

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

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

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

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

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

  15. Risk Modelling (Master and Excec. Master), 2010, 2011, 2012, 2013, 2014, 2015, 2016

  16. Arbitrage Theory (Master), 2014, 2015, 2017

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

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

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

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



Last updated: Nov 5, 2018