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Publications

by alumni of

Warrington College of Business
University of Florida
Gainesville, Florida (United States)

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.


| Working papers | Journal articles |

Working papers

Undated material is listed at the end

2018

  1. Girardi, Giulio & Hanley, Kathleen Weiss & Nikolova, Stanislava & Pelizzon, Loriana & Getmansky, Mila, 2018. "Portfolio similarity and asset liquidation in the insurance industry," SAFE Working Paper Series 224, Leibniz Institute for Financial Research SAFE.

2013

  1. Olivia S. Mitchell & Christopher C. Geczy & Robert Novy-Marx & Raimond Maurer & Donald E. Fuerst & Christopher M. Bone & Donald J. Segal & Martin G. Clarke & Frank J. Fabozzi & Deborah Lucas & David F, 2013. "Technical Review Panel for the Pension Insurance Modeling System (PIMS)," Working Papers wp290, University of Michigan, Michigan Retirement Research Center.

2011

  1. Babbel, David F. & Herce, Miguel A., 2011. "Stable Value Funds: Performance to Date," Working Papers 11-01, University of Pennsylvania, Wharton School, Weiss Center.

2010

  1. Babbel, David F., 2010. "A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach," Working Papers 10-26, University of Pennsylvania, Wharton School, Weiss Center.
  2. Dutta, Kabir K. & Babbel, David F., 2010. "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach," Working Papers 10-10, University of Pennsylvania, Wharton School, Weiss Center.

2002

  1. Kabir K. Dutta & David F. Babbel, 2002. "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 02-25, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.

2001

  1. David F. Babbel & Craig B. Merrill & Mark F. Meyer & Meiring de Villiers, 2001. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Center for Financial Institutions Working Papers 01-03, Wharton School Center for Financial Institutions, University of Pennsylvania.

1998

  1. David F. Babbel, 1998. "Components of Insurance Firm Value and the Present Value of Liabilities," Center for Financial Institutions Working Papers 98-18, Wharton School Center for Financial Institutions, University of Pennsylvania.

1997

  1. David F. Babbel & Anthony M. Santomero, 1997. "Risk Management by Insurers: An Analysis of the Process," Center for Financial Institutions Working Papers 96-16, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania.

1996

  1. Babbel, D.F., 1996. "Insuring Sovereign Debt Against Default," World Bank - Discussion Papers 328, World Bank.

1995

  1. McIsaac, Donald A. & Babbel, David F., 1995. "The World Bank primer on reinsurance," Policy Research Working Paper Series 1512, The World Bank.
  2. Babbel, David F. & Merrill, Craig & Panning, William, 1995. "Default risk and the effective duration of bonds," Policy Research Working Paper Series 1511, The World Bank.

1991

  1. David F. Babbel & Laurence K. Eisenberg, 1991. "Quantity-adjusting options and forward contracts," FRB Atlanta Working Paper 91-15, Federal Reserve Bank of Atlanta.
  2. David F. Babbel & Laurence K. Eisenberg, 1991. "Generalized put-call parity," FRB Atlanta Working Paper 91-9, Federal Reserve Bank of Atlanta.

1985

  1. David F. Babbel and Jaime Cuevas Dermody., 1985. "Optimal Insurance of the Common Form Under Moral Hazard," Research Program in Finance Working Papers 154, University of California at Berkeley.
  2. David F. Babbel and Eisaku Ohtsuka., 1985. "Aspects of Optimal Multiperiod Life Insurance," Research Program in Finance Working Papers 156, University of California at Berkeley.

Undated

  1. David F. Babbel & Laurence K. Eisenberg, "undated". "Generalized Put-Call Parity (Reprint 040)," Rodney L. White Center for Financial Research Working Papers 23-91, Wharton School Rodney L. White Center for Financial Research.
  2. David F. Babbel & Laurence K. Eisenberg, "undated". "Quantity-Adjusting Options and Forward Contracts (Revised: 29-91)," Rodney L. White Center for Financial Research Working Papers 24-91, Wharton School Rodney L. White Center for Financial Research.
  3. David F. Babbel & Laurence K. Eisenberg, "undated". "Quantity-Adjusting Options and Forward Contracts (Revision of 24-91) (Reprint 041)," Rodney L. White Center for Financial Research Working Papers 29-91, Wharton School Rodney L. White Center for Financial Research.

Journal articles

2022

  1. Murray, Scott & Nikolova, Stanislava, 2022. "The Bond-Pricing Implications of Rating-Based Capital Requirements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 57(6), pages 2177-2207, September.

2021

  1. Girardi, Giulio & Hanley, Kathleen W. & Nikolova, Stanislava & Pelizzon, Loriana & Sherman, Mila Getmansky, 2021. "Portfolio similarity and asset liquidation in the insurance industry," Journal of Financial Economics, Elsevier, vol. 142(1), pages 69-96.
  2. Kathleen Weiss Hanley & Stanislava Nikolova, 2021. "Rethinking the Use of Credit Ratings in Capital Regulations: Evidence From the Insurance Industry [Causes of the financial crisis]," Review of Corporate Finance Studies, Oxford University Press, vol. 10(2), pages 347-401.

2018

  1. Hanley, Kathleen W. & Jagolinzer, Alan D. & Nikolova, Stanislava, 2018. "Strategic estimation of asset fair values," Journal of Accounting and Economics, Elsevier, vol. 66(1), pages 25-45.
  2. David F. Babbel & Miguel A. Herce, 2018. "Stable Value Funds Performance," Risks, MDPI, vol. 6(1), pages 1-40, February.

2015

  1. Babbel, David F., 2015. "Evaluating pension insurance pricing," Journal of Pension Economics and Finance, Cambridge University Press, vol. 14(2), pages 186-201, April.

2014

  1. Kabir K. Dutta & David F. Babbel, 2014. "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(2), pages 303-334, June.

2013

  1. Gergana Jostova & Stanislava Nikolova & Alexander Philipov & Christof W. Stahel, 2013. "Momentum in Corporate Bond Returns," Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1649-1693.

2012

  1. Flannery, Mark J. & Nikolova, Stanislava (Stas) & Öztekin, Özde, 2012. "Leverage Expectations and Bond Credit Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(4), pages 689-714, August.

2008

  1. Babbel, David F., 2008. "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 978-1-9432," Journal of Pension Economics and Finance, Cambridge University Press, vol. 7(3), pages 365-368, November.

2005

  1. Kabir K. Dutta & David F. Babbel, 2005. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," The Journal of Business, University of Chicago Press, vol. 78(3), pages 841-870, May.
  2. David F. Babbel & Craig Merrill, 2005. "Real and Illusory Value Creation by Insurance Companies," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(1), pages 1-22, March.

2004

  1. Babbel, David F. & Merrill, Craig B. & Meyer, Mark F. & de Villiers, Meiring, 2004. "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(3), pages 595-611, September.

2002

  1. David Babbel & Jeremy Gold & Craig Merrill, 2002. "Fair Value of Liabilities: The Financial Economics Perspective," North American Actuarial Journal, Taylor & Francis Journals, vol. 6(1), pages 12-27.

1998

  1. David Babbel & Craig Merrill, 1998. "Authors’ Reply: Economic Valuation Models for Insurers - Discussion by Jacques F. Carriere," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 16-17.
  2. David Babbel & Craig Merrill, 1998. "Economic Valuation Models for Insurers," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 1-15.

1997

  1. David Babbel, 1997. "“Two Paradigms for The Market Value of Liabilities”, Robert R. Reitano, October 1997," North American Actuarial Journal, Taylor & Francis Journals, vol. 1(4), pages 122-125.

1996

  1. Craig Merrill & David Babbel, 1996. "Interest‐rate option pricing revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(8), pages 859-863, December.

1989

  1. David F. Babbel, 1989. "Insuring banks against systematic credit risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(6), pages 487-505, December.

1988

  1. Babbel, David F., 1988. "Interest rate dynamics and the term structure : A note," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 401-417, September.

1985

  1. Babbel, David F, 1985. "The Price Elasticity of Demand for Whole Life Insurance," Journal of Finance, American Finance Association, vol. 40(1), pages 225-239, March.

1983

  1. Babbel, David F & Staking, Kim B, 1983. "A Capital Budgeting Analysis of Life Insurance Costs in the United States: 1950-1979," Journal of Finance, American Finance Association, vol. 38(1), pages 149-170, March.
  2. David F Babbel, 1983. "Determining The Optimum Strategy for Hedging Currency Exposure," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 14(1), pages 133-139, March.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.