Details about David Babbel

This author is deceased (2021-05-20).

Access statistics for papers by David Babbel.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pba115

Working Papers

2013

1. Technical Review Panel for the Pension Insurance Modeling System (PIMS)
   Working Papers, University of Michigan, Michigan Retirement Research Center View citations (1)

2012

2. Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center
   Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2010) View citations (3)
   See also Journal Article Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach, Journal of Risk & Insurance, The American Risk and Insurance Association (2014) View citations (9) (2014)

2011

3. Stable Value Funds: Performance to Date
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)

2010

4. A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (2)

2002

5. Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (2)
   See also Journal Article Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions, The Journal of Business, University of Chicago Press (2005) View citations (11) (2005)
6. On Measuring Skewness and Kurtosis in Short Rate Distributions: The Case of the US Dollar London Inter Bank Offer Rates
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (14)

2001

7. The Effect of Transaction Size on Off-the-Run Treasury Prices
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (3)
   See also Journal Article The Effect of Transaction Size on Off-the-Run Treasury Prices, Journal of Financial and Quantitative Analysis, Cambridge University Press (2004) View citations (10) (2004)

1998

8. Components of Insurance Firm Value and the Present Value of Liabilities
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (2)

1997

9. Economic Valuation Models for Insurers
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (13)
   See also Journal Article Economic Valuation Models for Insurers, North American Actuarial Journal, Taylor & Francis Journals (1998) View citations (11) (1998)
10. Risk Management by Insurers: An Analysis of the Process
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (53)

1996

11. Insuring Sovereign Debt Against Default
    World Bank - Discussion Papers, World Bank View citations (18)

1995

12. Default risk and the effective duration of bonds
    Policy Research Working Paper Series, The World Bank View citations (8)
    See also Journal Article Default Risk and the Effective Duration of Bonds, Financial Analysts Journal, Taylor & Francis Journals (1997) (1997)
13. The World Bank primer on reinsurance
    Policy Research Working Paper Series, The World Bank View citations (3)

1991

14. Generalized put-Call parity
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (1991)
15. Quantity-Adjusting Options and Forward Contracts
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (3)
    Also in Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (1991) View citations (1)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (1991) View citations (2)

1985

16. Aspects of Optimal Multiperiod Life Insurance
    Research Program in Finance Working Papers, University of California at Berkeley View citations (4)
17. Optimal Insurance of the Common Form Under Moral Hazard
    Research Program in Finance Working Papers, University of California at Berkeley

Undated

18. Generalized Put-Call Parity (Reprint 040)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
19. Quantity-Adjusting Options and Forward Contracts (Revised: 29-91)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
20. Quantity-Adjusting Options and Forward Contracts (Revision of 24-91) (Reprint 041)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)

Journal Articles

2018

1. Stable Value Funds Performance
   Risks, 2018, 6, (1), 1-40 View citations (1)

2015

2. Evaluating pension insurance pricing*
   Journal of Pension Economics and Finance, 2015, 14, (2), 186-201

2014

3. Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
   Journal of Risk & Insurance, 2014, 81, (2), 303-334 View citations (9)
   See also Working Paper Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach, Working Papers (2012) (2012)

2008

4. Lifetime Financial Advice: Human Capital, Asset Allocation and Insurance. Roger G. Ibbotson, Moshe A. Milevsky, Peng Chen, and Kevin X. Zhu. 2007, Research Foundation of CFA Institute, ISBN 978-1-943205, 95 pages
   Journal of Pension Economics and Finance, 2008, 7, (3), 365-368

2005

5. Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions
   The Journal of Business, 2005, 78, (3), 841-870 View citations (11)
   See also Working Paper Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions, Center for Financial Institutions Working Papers (2002) View citations (2) (2002)
6. Real and Illusory Value Creation by Insurance Companies
   Journal of Risk & Insurance, 2005, 72, (1), 1-22 View citations (15)

2004

7. The Effect of Transaction Size on Off-the-Run Treasury Prices
   Journal of Financial and Quantitative Analysis, 2004, 39, (3), 595-611 View citations (10)
   See also Working Paper The Effect of Transaction Size on Off-the-Run Treasury Prices, Center for Financial Institutions Working Papers (2001) View citations (3) (2001)

2002

8. Fair Value of Liabilities: The Financial Economics Perspective
   North American Actuarial Journal, 2002, 6, (1), 12-27 View citations (8)

2001

9. Asset/Liability Management for Insurers in the New Era: Focus on Value
   Journal of Risk Finance, 2001, 3, (1), 9-17

1998

10. Authors’ Reply: Economic Valuation Models for Insurers - Discussion by Jacques F. Carriere
    North American Actuarial Journal, 1998, 2, (3), 16-17
11. Economic Valuation Models for Insurers
    North American Actuarial Journal, 1998, 2, (3), 1-15 View citations (11)
    See also Working Paper Economic Valuation Models for Insurers, Center for Financial Institutions Working Papers (1997) View citations (13) (1997)

1997

12. Default Risk and the Effective Duration of Bonds
    Financial Analysts Journal, 1997, 53, (1), 35-44
    See also Working Paper Default risk and the effective duration of bonds, Policy Research Working Paper Series (1995) View citations (8) (1995)
13. “Two Paradigms for The Market Value of Liabilities”, Robert R. Reitano, October 1997
    North American Actuarial Journal, 1997, 1, (4), 122-125

1996

14. Interest‐rate option pricing revisited
    Journal of Futures Markets, 1996, 16, (8), 859-863 View citations (1)

1989

15. Insuring banks against systematic credit risk
    Journal of Futures Markets, 1989, 9, (6), 487-505 View citations (3)

1988

16. Interest rate dynamics and the term structure: A note
    Journal of Banking & Finance, 1988, 12, (3), 401-417

1985

17. The Price Elasticity of Demand for Whole Life Insurance
    Journal of Finance, 1985, 40, (1), 225-39 View citations (29)

1983

18. A Capital Budgeting Analysis of Life Insurance Costs in the United States: 1950-1979
    Journal of Finance, 1983, 38, (1), 149-70 View citations (3)
19. Determining The Optimum Strategy for Hedging Currency Exposure
    Journal of International Business Studies, 1983, 14, (1), 133-139