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David Lando
David Lando
Professor of Finance, Copenhagen Business School
Verificeret mail på cbs.dk
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A Markov model for the term structure of credit risk spreads
RA Jarrow, D Lando, SM Turnbull
The review of financial studies 10 (2), 481-523, 1997
24391997
On Cox processes and credit risky securities
D Lando
Review of Derivatives research 2, 99-120, 1998
19601998
Term structures of credit spreads with incomplete accounting information
D Duffie, D Lando
Econometrica 69 (3), 633-664, 2001
18132001
Credit risk modeling
D Lando
Handbook of Financial Time Series, 787-798, 2009
12232009
Corporate bond liquidity before and after the onset of the subprime crisis
J Dick-Nielsen, P Feldhütter, D Lando
Journal of Financial Economics 103 (3), 471-492, 2012
11072012
Analyzing rating transitions and rating drift with continuous observations
D Lando, TM Skødeberg
Journal of banking & finance 26 (2-3), 423-444, 2002
6932002
Default risk and diversification: Theory and empirical implications
RA Jarrow, D Lando, F Yu
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2005
4082005
Decomposing swap spreads
P Feldhütter, D Lando
Journal of Financial Economics 88 (2), 375-405, 2008
3552008
Correlation in corporate defaults: Contagion or conditional independence?
D Lando, MS Nielsen
Journal of Financial Intermediation 19 (3), 355-372, 2010
2242010
Three essays on contingent claims pricing
D Lando
Cornell University, 1994
2211994
Confidence sets for continuous-time rating transition probabilities
JHE Christensen, E Hansen, D Lando
Journal of Banking & Finance 28 (11), 2575-2602, 2004
2072004
Modelling bonds and derivatives with default risk
D Lando
Mathematics of derivative securities 15, 369-393, 1997
1751997
Financial sector linkages and the dynamics of bank and sovereign credit spreads
R Kallestrup, D Lando, A Murgoci
Journal of Empirical Finance 38, 374-393, 2016
1362016
Swap pricing with two-sided default risk in a rating-based model
B Huge, D Lando
Review of Finance 3 (3), 239-268, 1999
1121999
Generalized recovery
CS Jensen, D Lando, LH Pedersen
Journal of Financial Economics 133 (1), 154-174, 2019
1062019
Robustness of distance-to-default
C Jessen, D Lando
Journal of Banking & Finance 50, 493-505, 2015
932015
Some elements of rating-based credit risk modeling
D Lando
Advanced fixed-income valuation tools, 193-215, 2000
822000
On Cox processes and credit risky bonds
D Lando
Available at SSRN 6143, 1999
611999
Dynamic capital structure with callable debt and debt renegotiations
PO Christensen, D Lando, CR Flor, KR Miltersen
Available at SSRN 320161, 2002
552002
Dynamic capital structure with callable debt and debt renegotiations
PO Christensen, CR Flor, D Lando, KR Miltersen
Journal of Corporate Finance 29, 644-661, 2014
512014
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Artikler 1–20