Research Interests: annuities and life insurance policies, asset/liability management for insurers, fixed income securities, interest-sensitive stochastic valuation, investment strategies
Postdoctoral Fellow, Insurance Economics, The Wharton School, University of Pennsylvania, 1984-5
Postdoctoral Studies in Finance Theory, Options, University of California at Berkeley, 1980-2
PhD, Finance, University of Florida, 1978
MBA, Finance and International Finance, University of Florida, 1975
BA, Economics and Philosophy, Brigham Young University and George Mason University, 1973
Recent Consulting: Developing financial strategies for banks and insurers, Asset/liability management, various insurers and pension funds; Insurer insolvency analysis, various clients; Valuation software developer; Investment performance analysis; Life insurance and annuities performance
Career and Recent Professional Awards; Teaching Awards: William G Whitney Award for Distinguished Teaching in the Associated Faculty; Best Feature Article Award from American Risk and Insurance Association, Best Article Award from North American Actuarial Journal, Graham-Dodd Award of Excellence from Association for Investment Management and Research; Huebner Foundation Postdoctoral Fellow, Fulbright Fellow
Academic Positions Held: Wharton: 1997-2010 Full Professor of Insurance and Finance; 1985-1996 Associate Professor of Insurance and Finance; Previous appointment: University of California, Berkeley
Other Positions: Senior Advisor, Charles River Associates, 2006-present; Senior Financial Economist, The World Bank, 1995; Strategist, Frank Russell, Co., 1993-94; Senior Advisor, Goldman, Sachs Pension and Insurance Department, 1986-92; Expert witness on insurance and finance matters, 1990-present
Kabir Dutta and David F Babbel (2013), Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach, Journal of Risk and Insurance.
David F Babbel (Work In Progress), Assessment of the PIMS Pricing Model.
David F Babbel and Miguel A. Herce (2013), Stable Value Funds: Performance to Date, Retirement Income Journal.
David F Babbel (Work In Progress), Economic Analysis of Insurance Products in Workplace Benefit Programs in the U.S.
David F Babbel and Jack Marrion (2011), Real World Index Annuity Returns, Journal of Financial Planning.
David F Babbel (2009), Measuring the Tax Benefit of a Tax-Deferred Annuity, Journal of Financial Planning.
David F Babbel, James Strickler, Ricki Sears (2009), Statistical String Theory for Courts: If the Data Don’t Fit, Journal of Legal Technology Risk Management.
David F Babbel, Financial Markets, Instruments and Institutions (2001)
David F Babbel, Valuation of Interest-Sensitive Financial Instruments (2000)
Investments and Securities Markets
International Financial Management
Advanced Asset/Liability Management
Financial Strategies and Analysis: Insurance (advanced fixed-income course)
Advanced Corporate Finance
Structured Notes and Asset-Backed Securities
Risk and Crisis Management
Principles of Risk and Insurance
Doctoral Seminar in Life Insurance—various sessions
Integrates the work of the various courses and familiarizes the student with the tools and techniques of research.
This course studies the concepts and evidence relevant to the management of investment portfolios. Topics include diversification, asset allocation, portfolio optimization, factor models, the relation between risk and return, trading, passive (e.g., index-fund) and active (e.g., hedge-fund, long-short) strategies, mutual funds, perfermance evaluation, long-horizon investing and simulation. The course deals very little with individual security valuation and discretionary investing (i.e., "equity research" or "stock picking").
The objective of this course is to study the major decision-making areas of managerial finance and some selected topics in financial theory. The course reviews the theory and empirical evidence related to the investment and financing policies of the firm and attempts to develop decision-making ability in these areas. This course serves as an extension of FNCE 611. Some areas of financial management not covered in FNCE 611 are covered in FNCE 726. These may include leasing, mergers and acquisitions, corporate reorganizations, financial planning, and working capital management, and some other selected topics. Other areas that are covered in FNCE 611 are covered more in depth and more rigorously in FNCE 726. These include investment decision making under uncertainty, cost of capital, capital structure, pricing of selected financial instruments and corporate liabilities, and dividend policy.
Independent Study Projects require extensive independent work and a considerable amount of writing. ISP in Finance are intended to give students the opportunity to study a particular topic in Finance in greater depth than is covered in the curriculum. The application for ISP's should outline a plan of study that requires at least as much work as a typical course in the Finance Department that meets twice a week. At a minimum, we need a description of the methodology you intend to employ, a bibliography and description of the data that you will use as well as a list of interim deliverables and dates to ensure that you complete the project within the semester. Applications for FNCE 899 ISP's will not be accepted after the THIRD WEEK OF THE SEMESTER. You must submit your Finance ISP request using the Finance Department's ISP form located at https://fnce.wharton.upenn.edu under the Course ISP section