Dr. Kwamie Dunbar is an Assistant Professor of Finance and Assistant Dean of the
Welch College of Business. Prior to his former position as Director of Credit Risk
Research at MasterCard Int'l, Professor Dunbar spent several years at GE Capital and
GE Asset Management in various capacities. He has also worked at ING Bank where he led a
research team in Asset Liability Management. Professor Dunbar has also held teaching
positions at the University of Connecticut and Fordham University in New York City.

Articles

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Credit Risk Dynamics in Response to Changes in the Federal Funds Target: The Implication for Firm Short-Term Debt (with Abu S. Amin), Business Faculty Publications (2012)

The recent credit crisis has raised a number of interesting questions regarding the role of...

 

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Forecasting And Stress-Testing The Risk-Based Capital Requirements For Revolving Retail Exposures, WCOB Working Papers (2012)

This paper presents a tractable and empirically sound technique for generating stressed probabilities of default...

 

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Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads (with Thomas Schröder), WCOB Working Papers (2010)

Bond issuers frequently immunize/hedge their interest rate exposure by means of interest rate swaps (IRS)....

 

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Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space, Economics Working Papers (2009)

In this paper we propose a methodology that we believe improves the effectiveness of several...

 

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The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach, Economics Working Papers (2009)

The study investigates the role of credit risk in a continuous time stochastic asset allocation...

 

Dissertation

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An Empirical Review of US Corporate Default Swap Valuation: The Implications of Functional Forms, Business Faculty Publications (2005)

This paper first develops a reduced form three-factor model for valuing credit default premia that...

 

Popular Press

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Program is Win-Win for Businesses and Students, Sacred Heart University News Story (2014)

The Sacred Heart University (SHU) Problem-Based Learning Lab (PBL) – launched in January through the...