David F. Babbel

University of Pennsylvania - The Wharton School - Finance and Insurance Departments

Professor

215 Wakefield Road

Bryn Mawr, PA 19010

United States

CRA International

Senior Advisor

John Hancock Tower

200 Clarendon Street, T-33

Boston, MA 02116-5092

United States

  • University of Pennsylvania - The Wharton School - Finance and Insurance Departments

    • Email
    • Tel: 610-527-1839

  • CRA International

    • Email
    • Tel: 610-527-1839
SCHOLARLY PAPERS

19

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11,833

SSRN CITATIONS
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Top 17,721

in Total Papers Citations

12

CROSSREF CITATIONS

48

Scholarly Papers (19)

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1.

Real World Index Annuity Returns

Number of pages: 16 Posted: 07 Oct 2009 Last Revised: 06 Jan 2011
David F. Babbel, Geoffrey VanderPal and Jack Marrion
University of Pennsylvania - The Wharton School - Finance and Insurance Departments, Purdue University Global and affiliation not provided to SSRN
Downloads 4,887 (2,573)

Abstract:

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indexed annuities, retirement, optimal asset allocation

2.

Stable Value Funds: Performance to Date

Number of pages: 51 Posted: 05 Jan 2011
David F. Babbel and Miguel Herce
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and CRA International, Inc.
Downloads 1,067 (29,325)

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Stable value, defined contribution, optimal asset allocation, stochastic dominance

3.

Default Risk and the Effective Duration of Bonds

Number of pages: 22 Posted: 20 Apr 2016
David F. Babbel and Craig B. Merrill
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and Brigham Young University
Downloads 963 (33,923)

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4.

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Downloads 871 ( 39,124)
Citation 13

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Number of pages: 28 Posted: 07 Mar 2010 Last Revised: 23 Oct 2012
Kabir Dutta and David F. Babbel
CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 867 (38,787)
Citation 5

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Scenario Analysis, Operational Risk Capital, Stress Testing, Change of Measure, Loss Data Modeling, Basel Capital Accord

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Journal of Risk and Insurance, Vol. 81, Issue 2, pp. 303-334, 2014
Number of pages: 32 Posted: 17 May 2014
Kabir Dutta and David F. Babbel
CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 4 (887,244)
Citation 1

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5.

The World Bank Primer on Reinsurance

Number of pages: 30 Posted: 20 Apr 2016
David F. Babbel and Donald A. McIsaac
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and affiliation not provided to SSRN
Downloads 854 (40,166)

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6.

Rational Decumulation

Wharton Financial Institutions Center Working Paper No. 06-14
Number of pages: 35 Posted: 18 Jul 2006
David F. Babbel and Craig B. Merrill
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and Brigham Young University
Downloads 754 (47,471)
Citation 27

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Annuities, Asset allocation, Retirement, Default, Insurance

7.

A Closer Look at Stable Value Funds Performance

Wharton Financial Institutions Center Working Paper No. 07-21
Number of pages: 36 Posted: 14 Oct 2007
David F. Babbel and Miguel Herce
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and CRA International, Inc.
Downloads 553 (70,804)
Citation 4

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8.

Stable Value Funds: Performance from 1973 Through 2008

Number of pages: 46 Posted: 02 Sep 2009 Last Revised: 20 Sep 2009
David F. Babbel and Miguel Herce
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and CRA International, Inc.
Downloads 329 (129,525)
Citation 1

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Stable value, defined contribution, optimal asset allocation, stochastic

9.

Generalized Put-Call Parity

Journal of Financial Engineering, Vol. 1, No. 3, pp. 243-263, 1993
Number of pages: 22 Posted: 02 Jan 2007 Last Revised: 21 Aug 2008
David F. Babbel and Larry Eisenberg
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and New Jersey Institute of Technology
Downloads 282 (152,041)
Citation 1

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put-call parity, quantos, foreign exchange, options

10.

The Effect of Transaction Size on Off-the-Run Treasury Prices

Wharton Financial Institutions Center Working Paper No. 01-03
Number of pages: 29 Posted: 04 May 2001
David F. Babbel, Craig B. Merrill, Mark F. Meyer and Meiring De Villiers
University of Pennsylvania - The Wharton School - Finance and Insurance Departments, Brigham Young University, Princeton Economics Group, Inc. and University of New South Wales (UNSW) - Faculty of Law
Downloads 277 (154,770)
Citation 1

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Price pressure, off-the-run Treasury bond and note, segmentation, liquidity

11.

Quantity-Adjusting Options and Forward Contracts

Journal of Financial Engineering , Vol. 2, No. 2, pp. 89-126, 1993
Number of pages: 20 Posted: 02 Jan 2007
David F. Babbel and Larry Eisenberg
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and New Jersey Institute of Technology
Downloads 263 (163,118)
Citation 1

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Quantos, foreign exchange, options, quantity-adjusting

12.

Measuring the Tax Benefit of a Tax-Deferred Annuity

Journal of Financial Planning, Forthcoming
Number of pages: 22 Posted: 11 Oct 2008 Last Revised: 08 Sep 2009
David F. Babbel and Ravi Reddy
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and affiliation not provided to SSRN
Downloads 253 (169,521)
Citation 2

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13.

A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Number of pages: 10 Posted: 28 Sep 2010
David F. Babbel
University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 207 (205,108)
Citation 1

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Scenario Analysis, Operational Risk Capital, Change of Measure, Internal Loss Data

14.

Technical Review Panel for the Pension Insurance Modeling System (PIMS)

Michigan Retirement Research Center Research Paper No. 2013-290, Simon School Working Paper No. FR 13-32
Number of pages: 265 Posted: 11 Jan 2014
Olivia S. Mitchell, Christopher Geczy, Robert Novy-Marx, Raimond Maurer, Donald E. Fuerst, Christopher Bone, Donald Segal, Martin G. Clarke, Frank J. Fabozzi, Deborah Lucas and David F. Babbel
University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School, Finance Department, Simon Business School, University of Rochester, Goethe University Frankfurt - Finance Department, Mercer Human Resource Consulting, Independent, Independent, Independent, EDHEC Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 139 (286,950)
Citation 1

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pensions, insurance

15.

Statistical String Theory for Courts: If the Data Don't Fit . . . .

Wharton Financial Institutions Center Working Paper No. 08-27
Number of pages: 33 Posted: 31 Jul 2008
David F. Babbel, Vincent James Strickler and Ricki Dolan
University of Pennsylvania - The Wharton School - Finance and Insurance Departments, Utah State University - Department of Political Science and University of Texas at Austin
Downloads 98 (367,423)

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16.

Evaluating Pension Insurance Pricing

Pension Research Council Working Paper, PRC WP2013-17
Number of pages: 35 Posted: 09 Oct 2013
David F. Babbel
University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 36 (594,312)

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17.

Risk Management by Insurers: An Analysis of the Process

WFIC Working Paper 96-16
Posted: 12 Jun 1998
David F. Babbel and Anthony M. Santomero
University of Pennsylvania - The Wharton School - Finance and Insurance Departments and University of Pennsylvania - The Wharton School

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18.

The Relation between Capital Structure, Interest Rate Sensitivity, and Market Value in the Property-Liability Insurance Industry

JOURNAL OF RISK AND INSURANCE, Vol. 62 No. 4, December 1995
Posted: 26 May 1998
Kim B. Staking and David F. Babbel
Colorado State University - School of Business and University of Pennsylvania - The Wharton School - Finance and Insurance Departments

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19.

Financial Risk Management by Insurers: An Analysis of the Process

J. OF RISK AND INSURANCE, Vol. 64 No. 2, June 1997
Posted: 02 Sep 1997
Anthony M. Santomero and David F. Babbel
University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School - Finance and Insurance Departments

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