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

17

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3,212

SSRN CITATIONS
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Top 37,116

in Total Papers Citations

9

CROSSREF CITATIONS

9

Scholarly Papers (17)

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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, Firamis, Zurich University of Applied Sciences, Center for Asset Management and Goethe University Frankfurt - Department of Finance
Downloads 1,029 (22,798)
Citation 2

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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 445 (69,960)
Citation 1

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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 gemeinnützige GmbH and Berlin School of Economics and Law
Downloads 322 (101,641)
Citation 8

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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: 30 Nov 2014
Nils Detering and Natalie Packham
University of California, Santa Barbara (UCSB) and Berlin School of Economics and Law
Downloads 295 (111,790)
Citation 3

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

5.

Correlation Under Stress in Normal Variance Mixture Models

Downloads 241 (137,900)

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 241 (137,369)

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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
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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 171 (189,497)
Citation 1

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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 119 (253,623)
Citation 1

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

8.

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 113 (263,229)
Citation 1

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

9.

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 95 (296,185)

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static hedging, Levy processes, additive processes

10.

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 79 (331,777)

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

11.

Determinants of the Onshore and Offshore Chinese Government Yield Curves

Number of pages: 41 Posted: 18 Jul 2013
Horst Loechel, Natalie Packham and Fabian Walisch
Frankfurt School of Finance & Management gemeinnützige GmbH, Berlin School of Economics and Law and Frankfurt School of Finance & Management gemeinnützige GmbH
Downloads 79 (331,777)

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

12.

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 65 (369,514)

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

13.

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 58 (391,115)

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

14.

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 gemeinnützige GmbH, Berlin School of Economics and Law and University of Innsbruck
Downloads 52 (411,434)
Citation 2

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

15.

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 33 (488,892)
Citation 1

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Contract design, screening, stochastic control theory

16.

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 16 (587,840)

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

17.

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, Natalie Packham and Helena Li
Frankfurt School of Finance & Management gemeinnützige GmbH, Berlin School of Economics and Law and Frankfurt School of Finance & Management gemeinnützige GmbH

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Banking regulation and supervision, financial crisis, China