David F. Babbel Faculty Profile

David F. Babbel
Professor Emeritus of Insurance and Risk Management

PhD, University of Florida, 1978; MBA, University of Florida, 1975; BA, Brigham Young University and George Mason University, 1973

Research Areas
Default insurance; interest-sensitive stochastic valuation, investment strategies; optimal insurance contract design; asset/liability management for insurers, fixed income secutities, life insurance

Recent Consulting
Developing financial strategies for banks and insurers, Financial Strategies Division, Goldman, Sachs & Co. and Frank Russell Co.; Asset/liability management, various insurers and pension funds; Capital market development, World Bank; Bank and insurance insolvency analysis, various clients; Valuation software developer

Current Projects
Analysis of basis risk in asset/liability management. Valuation of interest-sensitive cash flows.

Academic Positions Held
Wharton: 1985-present. Previous appointment: University of California, Berkeley 

Other Positions
Senior Financial Economist, The World Bank, 1995; Strategist, Frank Russell, Co., 1993-94; Insurance Strategist, Goldman, Sachs & Co., 1986-92; Vice President, Pension and Insurance Department, Goldman, Sachs & Co., 1987; Financial Economist, Brazilian Capital Market Institute, 1976-77; Economist, Foreign Demand and Competition Division, Economic Research Service, USDA, 1973-74

Career and Recent Professional Awards; Teaching Awards
William G Whitney Award for Distinguished Teaching in the Associated Faculty, 2003

Representative Publications
(with K. Dutta)
“Extracting Probabilistic Information from the Price of Interest Rate Options: Tests of Distributional Assumptions.” Journal of Business (May 2005).

(with C. Merrill)
Valuation of Interest-Sensitive Financial Instruments. Society of Actuaries, 1996.

(with K. Staking)
"The Relation between Capital Structures, Interest Rate Sensitivity, and Market Value in the Property-Liability Insurance Industry." Journal of Risk and Insurance (December 1995).

(with A. Santomero)
"Financial Risk Management by Insurers: An Analysis of the Process." Journal of Risk and Insurance (June 1997).

(with C. Merrill)
"Economic Valuation Models for Insurers." North American Actuarial Journal (July 1998).

(with F. Fabozzi)
Investment Management for Insurers. Fabozzi Associates, 1999.