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Kwamie O. Dunbar Sr.

Personal Details

First Name:Kwamie
Middle Name:O.
Last Name:Dunbar
Suffix:Sr.
RePEc Short-ID:pdu135

Affiliation

(in no particular order)

Department of Economics
University of Connecticut

Storrs, Connecticut (United States)
http://www.econ.uconn.edu/

(860) 486-4889
(860) 486-4463
309 Oak Hall, 365 Fairfield Way/U-63, Storrs, Connecticut 06269-1063
RePEc:edi:deuctus (more details at EDIRC)

John F. Welch College of Business
Sacred Heart University

Fairfield, Connecticut (United States)
http://business.sacredheart.edu/

(203) 371-7880

5151 Park Avenue, Fairfield, Connecticut 06825-1000
RePEc:edi:sbschus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Dunbar, Kwamie, 2012. "Forecasting and Stress-testing the Risk-based Capital Requirements for Revolving Retail Exposures," Working Papers 2012001, Sacred Heart University, John F. Welch College of Business.
  2. Thomas Schroeder & Kwamie Dunbar, 2010. "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working papers 2010-05, University of Connecticut, Department of Economics.
  3. Kwamie Dunbar, 2009. "Stochastic Business Cycle Volatilities, Capital Accumulation and Economic Growth: Lessons from the Global Credit Market Crisis," Working papers 2009-36, University of Connecticut, Department of Economics.
  4. Kwamie Dunbar, 2009. "The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach," Working papers 2009-03, University of Connecticut, Department of Economics, revised Feb 2009.
  5. Kwamie Dunbar, 2009. "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers 2009-04, University of Connecticut, Department of Economics.
  6. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
  7. Kwamie Dunbar & Albert J. Edwards, 2007. "Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect," Working papers 2007-10, University of Connecticut, Department of Economics.
  8. Kwamie Dunbar, 2007. "US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk," Working papers 2007-08, University of Connecticut, Department of Economics.

Articles

  1. Dunbar, Kwamie & Amin, Abu S., 2015. "The nature and impact of the market forecasting errors in the Federal funds futures market," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 174-192.
  2. Dunbar, Kwamie & Amin, Abu S., 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, vol. 21(3), pages 141-152.
  3. Kwamie Dunbar, 2008. "US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk," Quantitative Finance, Taylor & Francis Journals, pages 321-334.

Books

  1. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2, November.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Kwamie Dunbar, 2009. "Stochastic Business Cycle Volatilities, Capital Accumulation and Economic Growth: Lessons from the Global Credit Market Crisis," Working papers 2009-36, University of Connecticut, Department of Economics.

    Cited by:

    1. Robert Feicht & Wolfgang Stummer, 2010. "Complete Closed-form Solution to a Stochastic Growth Model and Corresponding Speed of Economic Recovery preliminary," DEGIT Conference Papers c015_041, DEGIT, Dynamics, Economic Growth, and International Trade.

  2. Kwamie Dunbar, 2009. "The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach," Working papers 2009-03, University of Connecticut, Department of Economics, revised Feb 2009.

    Cited by:

    1. Kwamie Dunbar, 2009. "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers 2009-04, University of Connecticut, Department of Economics.

  3. Kwamie Dunbar, 2007. "US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk," Working papers 2007-08, University of Connecticut, Department of Economics.

    Cited by:

    1. Dunbar, Kwamie & Amin, Abu S., 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, vol. 21(3), pages 141-152.
    2. Michele Leonardo Bianchi, 2012. "An empirical comparison of alternative credit default swap pricing models," Temi di discussione (Economic working papers) 882, Bank of Italy, Economic Research and International Relations Area.
    3. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    4. Rösch, Christoph G. & Kaserer, Christoph, 2014. "Reprint of: Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 152-170.
    5. Bühler, Wolfgang & Trapp, Monika, 2009. "Time-varying credit risk and liquidity premia in bond and CDS markets," CFR Working Papers 09-13, University of Cologne, Centre for Financial Research (CFR).
    6. Kwamie Dunbar, 2009. "The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach," Working papers 2009-03, University of Connecticut, Department of Economics, revised Feb 2009.
    7. Rösch, Christoph G. & Kaserer, Christoph, 2013. "Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2284-2302.
    8. Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.

Articles

  1. Dunbar, Kwamie & Amin, Abu S., 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, vol. 21(3), pages 141-152.

    Cited by:

    1. Dunbar, Kwamie & Amin, Abu S., 2015. "The nature and impact of the market forecasting errors in the Federal funds futures market," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 174-192.

  2. Kwamie Dunbar, 2008. "US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk," Quantitative Finance, Taylor & Francis Journals, pages 321-334.
    See citations under working paper version above.

Books

    Sorry, no citations of books recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (4) 2007-04-21 2007-05-19 2008-02-23 2009-01-24
  2. NEP-CFN: Corporate Finance (2) 2009-01-24 2009-01-24
  3. NEP-FMK: Financial Markets (2) 2007-04-21 2008-02-23
  4. NEP-ORE: Operations Research (2) 2009-01-24 2009-11-07
  5. NEP-BEC: Business Economics (1) 2009-11-07
  6. NEP-CBA: Central Banking (1) 2008-02-23
  7. NEP-CMP: Computational Economics (1) 2009-01-24
  8. NEP-DGE: Dynamic General Equilibrium (1) 2009-11-07
  9. NEP-FDG: Financial Development & Growth (1) 2009-11-07
  10. NEP-MAC: Macroeconomics (1) 2008-02-23
  11. NEP-MON: Monetary Economics (1) 2008-02-23
  12. NEP-MST: Market Microstructure (1) 2007-04-21

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