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

  • Berlin School of Economics and Law

  • Humboldt University Berlin

SCHOLARLY PAPERS

19

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5,266

SSRN CITATIONS
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Top 27,822

in Total Papers Citations

30

CROSSREF CITATIONS

13

Scholarly Papers (19)

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1.

Tail-Risk Protection Trading Strategies

Number of pages: 25 Posted: 11 Dec 2015 Last Revised: 31 Jul 2018
Natalie Packham, Jochen Papenbrock, Peter Schwendner and Fabian Woebbeking
Berlin School of Economics and Law, NVIDIA GmbH, Zurich University of Applied Sciences and Halle Institute for Economic Research
Downloads 1,426 (26,646)
Citation 3

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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 650 (79,135)
Citation 8

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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 413 (137,521)
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 384 (149,356)
Citation 5

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

5.

The London Whale

Number of pages: 11 Posted: 30 Jul 2018
Natalie Packham and Fabian Woebbeking
Berlin School of Economics and Law and Halle Institute for Economic Research
Downloads 315 (185,106)

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

6.

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 290 (202,001)
Citation 2

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

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 Halle Institute for Economic Research
Downloads 284 (206,461)
Citation 2

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

8.

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 244 (240,213)
Citation 1

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

9.

Hedging Cryptocurrency Options

Number of pages: 38 Posted: 14 Dec 2021
Jovanka Lili Matic, Natalie Packham and Wolfgang Karl Härdle
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin, Berlin School of Economics and Law and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 239 (245,209)
Citation 6

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

10.

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 Halle Institute for Economic Research
Downloads 184 (312,369)
Citation 1

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

11.

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 145 (382,769)
Citation 1

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

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 139 (395,636)

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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 115 (457,517)

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

14.

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 112 (466,685)

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

15.

Determinants of the Onshore and Offshore Chinese Government Yield Curves

Number of pages: 41 Posted: 18 Jul 2013
Horst Loechel, Horst Loechel, Natalie Packham and Fabian Walisch
China Europe International Business School (CEIBS)Frankfurt School of Finance & Management, Berlin School of Economics and Law and Frankfurt School of Finance & Management
Downloads 109 (475,917)

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

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
Christina E. Bannier, Eberhard Feess, Natalie Packham and Markus Walzl
Justus-Liebig-University Giessen, Frankfurt School of Finance & Management, Berlin School of Economics and Law and University of Innsbruck
Downloads 99 (509,242)
Citation 1

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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 67 (640,923)
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 51 (729,181)
Citation 1

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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

Other Papers (2)

Total Downloads: 91
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1.

Jump risk premia in the presence of clustered jumps

Number of pages: 39 Posted: 24 Feb 2024 Last Revised: 05 Mar 2024
Francis Liu, Natalie Packham and Artur Sepp
Humboldt-Universität zu Berlin - IRTG1792, Berlin School of Economics and Law and LGT Bank (Schweiz) AG
Downloads 64

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Risk premia, risk premium, jumps, clustered jumps, Hawkes process, cryptocurrencies

2.

Crypto Loans

Number of pages: 26 Posted: 20 Jun 2024
Francis Liu, Natalie Packham, Wolfgang Karl Härdle and Ramona Merkl
Humboldt-Universität zu Berlin - IRTG1792, Berlin School of Economics and Law, Humboldt University of Berlin and Humboldt University of Berlin
Downloads 27

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Cryptocurrencies, collateral, jump risk, term structure, loans, borrowing rate