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

SCHOLARLY PAPERS

20

DOWNLOADS
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SSRN RANKINGS

Top 3,241

in Total Papers Downloads

9,407

CITATIONS
Rank 12,644

SSRN RANKINGS

Top 12,644

in Total Papers Citations

31

Scholarly Papers (20)

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, Webster University and affiliation not provided to SSRN
Downloads 2,930 (1,835)

Abstract:

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 840 (19,028)

Abstract:

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

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 760 (24,881)
Citation 1

Abstract:

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 1 (564,477)
Citation 1

Abstract:

4.

Default Risk and the Effective Duration of Bonds

World Bank Policy Research Working Paper No. 1511
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 733 (23,555)
Citation 5

Abstract:

5.

The World Bank Primer on Reinsurance

World Bank Policy Research Working Paper No. 1512
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 586 (31,414)
Citation 1

Abstract:

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 472 (43,682)
Citation 13

Abstract:

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 457 (46,189)
Citation 3

Abstract:

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 283 (84,801)
Citation 1

Abstract:

Stable value, defined contribution, optimal asset allocation, stochastic

9.

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
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 248 (96,770)
Citation 3

Abstract:

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

10.

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 237 (96,001)
Citation 1

Abstract:

put-call parity, quantos, foreign exchange, options

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 179 (118,875)
Citation 1

Abstract:

Quantos, foreign exchange, options, quantity-adjusting

12.

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 177 (131,876)

Abstract:

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

13.

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 148 (146,911)
Citation 1

Abstract:

14.

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 84 (234,520)

Abstract:

15.

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
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 67 (226,407)

Abstract:

pensions, insurance

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 26 (394,611)

Abstract:

17.

Determining the Optimum Strategy for Hedging Currency Exposure

Journal of International Business Studies, Vol. 14, Issue 1, pp. 133-139, 1983
Number of pages: 7 Posted: 09 Mar 2011
David F. Babbel
University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Downloads 3 (521,539)
Citation 1

Abstract:

18.

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

Abstract:

19.

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

Abstract:

20.

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

Abstract: