Natalie Packham

Berlin School of Economics and Law

Professor

Badensche Strasse 50-51

Berlin, D-10825

Germany

http://www.packham.net

Humboldt University Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 17,613

in Total Papers Downloads

3,990

SSRN CITATIONS
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SSRN RANKINGS

Top 29,640

in Total Papers Citations

19

CROSSREF CITATIONS

10

Scholarly Papers (19)

1.

Tail-Risk Protection Trading Strategies

Number of pages: 25 Posted: 11 Dec 2015 Last Revised: 31 Jul 2018
Berlin School of Economics and Law, NVIDIA GmbH, Zurich University of Applied Sciences and Goethe University Frankfurt - Department of Finance
Downloads 1,213 (23,657)
Citation 3

Abstract:

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tail-risk protection, portfolio protection, extreme events, tail distributions, trading strategies

2.

Latin Hypercube Sampling with Dependence and Applications in Finance

Number of pages: 28 Posted: 18 Sep 2008 Last Revised: 02 Apr 2009
Natalie Packham and Wolfgang M. Schmidt
Berlin School of Economics and Law and Frankfurt School of Finance & Management
Downloads 519 (74,670)
Citation 4

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Monte Carlo simulation, variance reduction, Latin hypercube sampling, stratified sampling

3.

Competition, Bonuses, and Risk-Taking in the Banking Industry

Number of pages: 48 Posted: 09 Oct 2010 Last Revised: 30 Sep 2011
Christina E. Bannier, Eberhard Feess and Natalie Packham
Justus-Liebig-University Giessen, Frankfurt School of Finance & Management and Berlin School of Economics and Law
Downloads 353 (116,850)
Citation 9

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Bonuses, excessive risk, screening, competition

4.

Model Risk of Contingent Claims

Number of pages: 31 Posted: 13 Feb 2013 Last Revised: 23 Feb 2022
Nils Detering and Natalie Packham
University of California, Santa Barbara (UCSB) and Berlin School of Economics and Law
Downloads 319 (130,253)
Citation 5

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model risk, parameter uncertainty, hedge error, value-at-risk, expected shortfall

Correlation Under Stress in Normal Variance Mixture Models

Number of pages: 28 Posted: 26 Jan 2010 Last Revised: 12 Oct 2012
Michael Kalkbrener and Natalie Packham
Deutsche Bank AG - Risk Management and Berlin School of Economics and Law
Downloads 257 (162,111)

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Stress testing, risk management, correlation, normal variance mixture distribution, multivariate normal distribution, multivariate t-distribution

Correlation Under Stress in Normal Variance Mixture Models

Mathematical Finance, Vol. 25, Issue 2, pp. 426-456, 2015
Number of pages: 31 Posted: 04 Mar 2015
Michael Kalkbrener and Natalie Packham
Deutsche Bank AG - Risk Management and Berlin School of Economics and Law
Downloads 0

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stress testing, risk management, correlation, normal variance mixture distribution, multivariate normal distribution, multivariate t‐distribution

6.

Credit Gap Risk in a First Passage Time Model with Jumps

Centre for Practical Quantitative Finance Working Paper No. 22
Number of pages: 39 Posted: 19 Nov 2009
Natalie Packham, Lutz Schloegl and Wolfgang M. Schmidt
Berlin School of Economics and Law, affiliation not provided to SSRN and Frankfurt School of Finance & Management
Downloads 189 (217,177)
Citation 1

Abstract:

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gap risk, credit spreads, credit dynamics, first passage time models, stochastic volatility, general Ornstein-Uhlenbeck processes

7.

A Factor-Model Approach for Correlation Scenarios and Correlation Stress Testing

Number of pages: 27 Posted: 16 Aug 2018 Last Revised: 21 Feb 2019
Natalie Packham and Fabian Woebbeking
Berlin School of Economics and Law and Goethe University Frankfurt - Department of Finance
Downloads 187 (219,149)
Citation 2

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Correlation Stress Testing, Scenario Selection, Market Risk, Correlation Risk, 'London Whale'

8.

The London Whale

Number of pages: 11 Posted: 30 Jul 2018
Natalie Packham and Fabian Woebbeking
Berlin School of Economics and Law and Goethe University Frankfurt - Department of Finance
Downloads 149 (266,614)

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correlation stress testing, scenario selection, credit risk management, 'London Whale'

9.

Credit Dynamics in a First Passage Time Model with Jumps

CPQF Working Paper Series No. 21
Number of pages: 21 Posted: 23 Sep 2009 Last Revised: 13 Aug 2010
Natalie Packham, Lutz Schloegl and Wolfgang M. Schmidt
Berlin School of Economics and Law, affiliation not provided to SSRN and Frankfurt School of Finance & Management
Downloads 118 (316,383)
Citation 1

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gap risk, credit spreads, credit dynamics, first passage time models, Levy processes, general Ornstein-Uhlenbeck process

10.

Hedging Cryptocurrency Options

Number of pages: 38 Posted: 14 Dec 2021
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin, Berlin School of Economics and Law and Blockchain Research Center
Downloads 105 (345,126)

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cryptocurrency options, hedging, bitcoin, digital finance, volatile markets

11.

Correlation Scenarios and Correlation Stress Testing

Number of pages: 24 Posted: 16 Jul 2021
Natalie Packham and Fabian Woebbeking
Berlin School of Economics and Law and Goethe University Frankfurt - Department of Finance
Downloads 101 (351,866)

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Keywords: Correlation stress testing, reverse stress testing, factor selection, scenario selection, Bayesian variable selection, market risk management

12.

Static Hedging Under Maturity Mismatch

Number of pages: 28 Posted: 14 Dec 2011 Last Revised: 04 Nov 2013
Philipp A. Mayer, Natalie Packham and Wolfgang M. Schmidt
Graz University of Technology, Berlin School of Economics and Law and Frankfurt School of Finance & Management
Downloads 100 (354,157)

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static hedging, Levy processes, additive processes

13.

Default Probabilities and Default Correlations Under Stress

Number of pages: 17 Posted: 02 Apr 2014
Natalie Packham, Michael Kalkbrener and Ludger Overbeck
Berlin School of Economics and Law, Deutsche Bank AG - Risk Management and University of Giessen
Downloads 87 (386,360)

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financial risk management, credit portfolio modelling, stress testing, elliptic distribution, max-domain

14.

Determinants of the Onshore and Offshore Chinese Government Yield Curves

Number of pages: 41 Posted: 18 Jul 2013
China Europe International Business School (CEIBS)Frankfurt School of Finance & Management, Berlin School of Economics and Law and Frankfurt School of Finance & Management
Downloads 84 (394,558)

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Chinese government bond yields, Chinese offshore market, RMB, Hong Kong

15.

Combining Latin Hypercube Sampling with Other Variance Reduction Techniques

Number of pages: 18 Posted: 22 Nov 2012
Natalie Packham
Berlin School of Economics and Law
Downloads 74 (424,112)

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Monte Carlo simulation, variance reduction, Latin hypercube sampling (with dependence), control variates, importance sampling, derivative pricing

16.

Incentive Schemes, Private Information and the Double-Edged Role of Competition for Agents

Number of pages: 56 Posted: 03 Jan 2013 Last Revised: 12 Jul 2016
Justus-Liebig-University Giessen, Frankfurt School of Finance & Management, Berlin School of Economics and Law and University of Innsbruck
Downloads 57 (484,061)
Citation 2

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Incentive compensation, screening, imperfect labor market competition, vertical differentiation, horizontal differentiation, risk aversion

17.

Structured Climate Financing: Valuation of CDOs on Inhomogeneous Asset Pools

Number of pages: 21 Posted: 04 Mar 2020
Natalie Packham
Berlin School of Economics and Law
Downloads 41 (554,698)
Citation 7

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Renewable energy financing, structured finance, CDO pricing, LH++ model

18.

Optimal Contracts Under Adverse Selection, Moral Hazard and Type-Dependent Reservation Utilities

Number of pages: 7 Posted: 02 Jul 2015
Natalie Packham
Berlin School of Economics and Law
Downloads 37 (575,127)

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Contract design, screening, stochastic control theory

19.

International Banking Regulation and Supervision after the Crisis: Implications for China

EU-China BMT Working Paper No. 013
Posted: 19 Jan 2011 Last Revised: 15 Dec 2015
Horst Loechel, Horst Loechel, Natalie Packham and Helena Li
China Europe International Business School (CEIBS)Frankfurt School of Finance & Management, Berlin School of Economics and Law and Frankfurt School of Finance & Management

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Banking regulation and supervision, financial crisis, China