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Details about Natalie Packham

Homepage:http://fs.de/packham
Workplace:Frankfurt School of Finance and Management, (more information at EDIRC)

Access statistics for papers by Natalie Packham.

Last updated 2015-09-28. Update your information in the RePEc Author Service.

Short-id: ppa854


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Working Papers

2014

  1. Default probabilities and default correlations under stress
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management Downloads View citations (1)
  2. Incentive schemes, private information and the double-edged role of competition for agents
    CFS Working Paper Series, Center for Financial Studies (CFS) Downloads View citations (8)

2013

  1. Determinants of the onshore and offshore Chinese Government yield curves
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management Downloads View citations (3)

2012

  1. Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
    Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management Downloads View citations (3)

2009

  1. Credit dynamics in a first passage time model with jumps
    CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) Downloads View citations (7)
  2. Credit gap risk in a first passage time model with jumps
    CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) Downloads View citations (7)
    See also Journal Article in Quantitative Finance (2013)

2008

  1. Latin hypercube sampling with dependence and applications in finance
    CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) Downloads View citations (10)

Journal Articles

2013

  1. Competition, Bonuses, and Risk-taking in the Banking Industry
    Review of Finance, 2013, 17, (2), 653-690 Downloads View citations (27)
  2. Credit gap risk in a first passage time model with jumps
    Quantitative Finance, 2013, 13, (12), 1871-1889 Downloads View citations (3)
    See also Working Paper (2009)
 
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