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

  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. 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. Model risk of contingent claims (with Nils Detering), Quantitative Finance (forthcoming).

  2. 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.

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

  4. 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.

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

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

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

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

  9. 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.

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

  11. 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), R&R.

  2. Optimal contracts under adverse selection, moral hazard and type-dependent reservation utilities, submitted.

  3. Tail-risk protection trading strategies (with Jochen Papenbrock, Peter Schwendner and Fabian Wöbbeking), R&R.



Work in Progress

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

  2. Structured climate financing (with Ulf Moslener)

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



RESEARCH FUNDING AND GRANTS

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

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

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

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

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

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

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

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



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, Scientific Morning Conference, Institut Europlace de Finance / Louis Bachelier, Paris, March 2016

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

  17. Invited speaker, MathFinance Conference, Frankfurt, 2011

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

  19. Invited seminar speaker, Munich Technical University, 2009

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

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



CONFERENCE TALKS

  1. 9th World Congress of the Bachelier Finance Society, New York, July 2016

  2. 22nd Annual Meeting of the German Finance Association (DGF), Leipzig, 2015

  3. 32nd International Conference of the French Finance Association, Paris, France, 2015

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

  5. 8th World Congress of the Bachelier Finance Society, Brussels, June 2014

  6. 20th Annual Meeting of the German Finance Association (DGF), Wuppertal, 2013

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

  8. 3rd Int. Conference of the Financial Engineering and Banking Society, Paris, June 2013

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

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

  11. Conference “Gesamtbanksteuerung”, Frankfurt School, 2013

  12. World Finance & Banking Symposium, Shanghai, 2012

  13. 19th Annual Meeting of the German Finance Association (DGF), Hanover, 2012

  14. European Economic Association, Malaga, 2012

  15. 12th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2011

  16. European Economic Association, Oslo, 2011

  17. 6th World Congress, Bachelier Finance Society, Toronto, 2010

  18. Risk Dependencies, Paris, 2010

  19. RiskMinds, Geneva, 2009

  20. 23rd European Conference on Operational Research, Bonn, 2009

  21. RiskCapital Brussels, 2009

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

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

  24. 11th Symposium on Finance, Banking, and Insurance, Karlsruhe, 2008

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

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

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

  28. Numerical Methods for Finance Conference, Dublin, 2008

  29. Quantitative Methods in Finance Conference, Sydney, 2007

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

  31. Frankfurt Mathfinance Workshop, Frankfurt, 2007

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

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

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

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

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

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

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

  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, 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, 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, Frankfurt School, 2013–2016

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

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

  4. Member of the Curriculum Committee (Master of Finance), Frankfurt School, 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. Mathematics for Business and Economics (Bachelor), 2016

  2. Statistik / Statistics (Bachelor), 2016

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

  4. Financial Engineering (Bachelor), 2016

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

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

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

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

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

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

  11. Arbitrage Theory (Master), 2014, 2015

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

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

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

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



Last updated: August 2, 2016