Details about Natalie Packham

Access statistics for papers by Natalie Packham.

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

Short-id: ppa854

Working Papers

2014

1. Default probabilities and default correlations under stress
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (11)
2. Incentive schemes, private information and the double-edged role of competition for agents
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (9)

2013

3. Determinants of the onshore and offshore Chinese Government yield curves
   Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management View citations (4)

2012

4. 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 View citations (3)

2009

5. 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) View citations (7)
6. 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) View citations (7)
   See also Journal Article Credit gap risk in a first passage time model with jumps, Quantitative Finance, Taylor & Francis Journals (2013) View citations (5) (2013)

2008

7. 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) View citations (13)

Journal Articles

2013

1. Competition, Bonuses, and Risk-taking in the Banking Industry
   Review of Finance, 2013, 17, (2), 653-690 View citations (36)
2. Credit gap risk in a first passage time model with jumps
   Quantitative Finance, 2013, 13, (12), 1871-1889 View citations (5)
   See also Working Paper Credit gap risk in a first passage time model with jumps, CPQF Working Paper Series (2009) View citations (7) (2009)