Natalie Packham
Natalie Packham
Berlin School of Economics and Law
Verified email at - Homepage
Cited by
Cited by
Competition, bonuses, and risk-taking in the banking industry
CE Bannier, E Feess, N Packham
Review of Finance 17, 653–690, 2012
Latin hypercube sampling with dependence and applications in finance
N Packham, WM Schmidt
Journal of Computational Finance 13 (3), 81-111, 2010
Does risk culture matter? The relationship between risk culture indicators and stress test results
S Fritz-Morgenthal, J Hellmuth, N Packham
Journal of Risk Management in Financial Institutions 9 (1), 71-84, 2016
Model risk of contingent claims
N Detering, N Packham
Quantitative Finance 16 (9), 1357-1374, 2016
Correlation Under Stress in Normal Variance Mixture Models
M Kalkbrener, N Packham
Mathematical Finance 25 (2), 426-456, 2013
Credit gap risk in a first passage time model with jumps
N Packham, L Schlögl, WM Schmidt
Quantitative Finance 13 (12), 1871-1889, 2013
International Banking Regulation and Supervision after the Crisis: Implications for China
H Loechel, N Packham, H Li
China's changing banking industry, 2012
Determinants of the onshore and offshore Chinese Government yield curves
H Loechel, N Packham, F Walisch
Pacific-basin Finance Journal 36 (February), 77-93, 2013
Combining Latin hypercube sampling with other variance reduction techniques
N Packham
Wilmott Magazine, 2015
A factor-model approach for correlation scenarios and correlation stress testing
N Packham, CF Woebbeking
Journal of Banking & Finance 101, 92-103, 2019
Tail-risk protection trading strategies
N Packham, J Papenbrock, P Schwendner, F Woebbeking
Quantitative Finance 17 (5), 729-744, 2017
Stress testing of credit portfolios in light-and heavy-tailed models
M Kalkbrener, N Packham
Journal of Risk Management in Financial Institutions 8, 2015
Correlation parameterization and calibration for the LIBOR market model
N Packham
Master Thesis, Frankfurt School, 2005
Asymptotic behaviour of multivariate default probabilities and default correlations under stress
N Packham, M Kalkbrener, L Overbeck
Journal of Applied Probability 53 (1), 2016
Incentive schemes, private information and the double-edged role of competition for agents
C Bannier, E Feess, N Packham
available at SSRN, 2013
Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
F Mehmke, H Cremers, N Packham
Frankfurt School-Working Paper Series, 2012
Transport of Context-based Information in Digital Audio Data
N Packham, F Kurth
AES Convention Papers, Los Angeles, 2000
Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present
N Packham
Statistics & Probability Letters 137, 99-104, 2018
Model risk in incomplete markets with jumps
N Detering, N Packham
Innovations in Quantitative Risk Management, 39-56, 2015
Structured climate financing: valuation of CDO on inhomogeneous asset pools
N Packham
SN Business & Economics 1 (4), 1-23, 2021
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