IDEAS home Printed from https://ideas.repec.org/e/pla6.html
   My authors  Follow this author

David Lando

Personal Details

First Name:David
Middle Name:
Last Name:Lando
Suffix:
RePEc Short-ID:pla6
[This author has chosen not to make the email address public]
Department of Finance Copenhagen Business School Solbjerg Plads 3 DK-2840 Holte DENMARK
Terminal Degree:1994 (from RePEc Genealogy)

Affiliation

Copenhagen Business School

København, Denmark
http://www.cbs.dk/
RePEc:edi:cbschdk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Lando, David & Klinger, Sven, 2018. "Safe Haven CDS Premiums," CEPR Discussion Papers 12694, C.E.P.R. Discussion Papers.
  2. Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
  3. Lando, David & Mortensen, Allan, 2004. "On the Pricing of Step-Up Bonds in the European Telecom Sector," Working Papers 2004-9, Copenhagen Business School, Department of Finance.

Articles

  1. Benjamin Christoffersen & David Lando & Søren Feodor Nielsen, 2022. "Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1214-1230, October.
  2. David Lando, 2020. "Credit Default Swaps: A Primer and Some Recent Trends," Annual Review of Financial Economics, Annual Reviews, vol. 12(1), pages 177-192, December.
  3. Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
  4. Sven Klingler & David Lando, 2018. "Safe Haven CDS Premiums," The Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1856-1895.
  5. Thais Lærkholm Jensen & David Lando & Mamdouh Medhat, 2017. "Cyclicality and Firm Size in Private Firm Defaults," International Journal of Central Banking, International Journal of Central Banking, vol. 13(4), pages 97-145, December.
  6. Kallestrup, René & Lando, David & Murgoci, Agatha, 2016. "Financial sector linkages and the dynamics of bank and sovereign credit spreads," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 374-393.
  7. Jessen, Cathrine & Lando, David, 2015. "Robustness of distance-to-default," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 493-505.
  8. Christensen, Peter Ove & Flor, Christian Riis & Lando, David & Miltersen, Kristian R., 2014. "Dynamic capital structure with callable debt and debt renegotiations," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 644-661.
  9. David Lando & Mamdouh Medhat & Mads Stenbo Nielsen & Søren Feodor Nielsen, 2013. "Additive Intensity Regression Models in Corporate Default Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 11(3), pages 443-485, June.
  10. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
  11. Lando, David & Nielsen, Mads Stenbo, 2010. "Correlation in corporate defaults: Contagion or conditional independence?," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 355-372, July.
  12. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
  13. Robert A. Jarrow & David Lando & Fan Yu, 2005. "Default Risk And Diversification: Theory And Empirical Implications," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 1-26, January.
  14. Christensen, Jens H.E. & Hansen, Ernst & Lando, David, 2004. "Confidence sets for continuous-time rating transition probabilities," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2575-2602, November.
  15. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
  16. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
  17. Brian Huge & David Lando, 1999. "Swap Pricing with Two-Sided Default Risk in a Rating-Based Model," Review of Finance, European Finance Association, vol. 3(3), pages 239-268.
  18. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.

Chapters

  1. David Lando, 2013. "Some Lessons From CDO Markets on Mathematical Models," Palgrave Macmillan Books, in: Michael Pinedo & Ingo Walter (ed.), Global Asset Management, chapter 4, pages 74-92, Palgrave Macmillan.
  2. Robert A. Jarrow & David Lando & Fan Yu, 2008. "Default Risk And Diversification: Theory And Empirical Implications," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 19, pages 455-480, World Scientific Publishing Co. Pte. Ltd..
  3. Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008. "A Markov Model for the Term Structure of Credit Risk Spreads," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453, World Scientific Publishing Co. Pte. Ltd..

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. Number of Citations, Discounted by Citation Age
  3. Number of Citations, Weighted by Simple Impact Factor
  4. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  5. Number of Citations, Weighted by Recursive Impact Factor
  6. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  7. Number of Citations, Weighted by Number of Authors
  8. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  9. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  11. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  12. Number of Journal Pages, Weighted by Simple Impact Factor
  13. Number of Journal Pages, Weighted by Recursive Impact Factor
  14. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  16. Euclidian citation score
  17. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 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-BAN: Banking (1) 2018-03-12
  2. NEP-FIN: Finance (1) 2006-07-02
  3. NEP-FMK: Financial Markets (1) 2006-07-02
  4. NEP-ORE: Operations Research (1) 2018-02-26

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, David Lando should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.