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Details about David Babbel

E-mail:
Workplace:Finance Department, Wharton School of Business, University of Pennsylvania, (more information at EDIRC)
Financial Institutions Center, Wharton School of Business, University of Pennsylvania, (more information at EDIRC)

Access statistics for papers by David Babbel.

Last updated 2019-01-19. Update your information in the RePEc Author Service.

Short-id: pba115


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Working Papers

2013

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

2012

  1. Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2010) Downloads View citations (2)

    See also Journal Article in Journal of Risk & Insurance (2014)

2011

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

2010

  1. 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 Downloads

2002

  1. 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 Downloads View citations (2)
    See also Journal Article in The Journal of Business (2005)
  2. 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 Downloads View citations (11)

2001

  1. 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 Downloads View citations (2)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2004)

1998

  1. 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 Downloads View citations (1)

1997

  1. Economic Valuation Models for Insurers
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (12)
    See also Journal Article in North American Actuarial Journal (1998)
  2. Risk Management by Insurers: An Analysis of the Process
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (34)

1996

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

1995

  1. Default risk and the effective duration of bonds
    Policy Research Working Paper Series, The World Bank Downloads View citations (8)
  2. The World Bank primer on reinsurance
    Policy Research Working Paper Series, The World Bank Downloads View citations (2)

1991

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

1985

  1. Aspects of Optimal Multiperiod Life Insurance
    Research Program in Finance Working Papers, University of California at Berkeley View citations (3)
  2. Optimal Insurance of the Common Form Under Moral Hazard
    Research Program in Finance Working Papers, University of California at Berkeley

Undated

  1. Generalized Put-Call Parity (Reprint 040)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  2. 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
  3. 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

Journal Articles

2018

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

2015

  1. Evaluating pension insurance pricing
    Journal of Pension Economics and Finance, 2015, 14, (02), 186-201 Downloads

2014

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

2008

  1. 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, (03), 365-368 Downloads

2005

  1. Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions
    The Journal of Business, 2005, 78, (3), 841-870 Downloads View citations (10)
    See also Working Paper (2002)
  2. Real and Illusory Value Creation by Insurance Companies
    Journal of Risk & Insurance, 2005, 72, (1), 1-22 Downloads View citations (10)

2004

  1. The Effect of Transaction Size on Off-the-Run Treasury Prices
    Journal of Financial and Quantitative Analysis, 2004, 39, (03), 595-611 Downloads View citations (6)
    See also Working Paper (2001)

2002

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

1998

  1. Authors’ Reply: Economic Valuation Models for Insurers - Discussion by Jacques F. Carriere
    North American Actuarial Journal, 1998, 2, (3), 16-17 Downloads
  2. Economic Valuation Models for Insurers
    North American Actuarial Journal, 1998, 2, (3), 1-15 Downloads
    See also Working Paper (1997)

1997

  1. “Two Paradigms for The Market Value of Liabilities”, Robert R. Reitano, October 1997
    North American Actuarial Journal, 1997, 1, (4), 122-125 Downloads

1996

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

1989

  1. Insuring banks against systematic credit risk
    Journal of Futures Markets, 1989, 9, (6), 487-505 Downloads View citations (2)

1988

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

1985

  1. The Price Elasticity of Demand for Whole Life Insurance
    Journal of Finance, 1985, 40, (1), 225-39 Downloads View citations (21)

1983

  1. A Capital Budgeting Analysis of Life Insurance Costs in the United States: 1950-1979
    Journal of Finance, 1983, 38, (1), 149-70 Downloads View citations (2)
  2. Determining The Optimum Strategy for Hedging Currency Exposure
    Journal of International Business Studies, 1983, 14, (1), 133-139 Downloads
 
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