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David Lando9th Most Popular Author in DefaultRisk.com
Copenhagen Business School-- Department of Finance
Solbjerg Plads 3, A5
DK-2000 Frederiksberg
DENMARK - Cornell University, Ph. D. -statistics- (1994)
- Professor of Finance at The Copenhagen Business School's Department of Finance. He holds a Masters degree from the joint mathematics-economics program at the University of Copenhagen and a Ph.D. in statistics from Cornell University. His main area of research in finance is credit risk modelling and risk management. He has been a visiting scholar at the Federal Reserve Board in Washington and is currently a member of four separate academic boards.
- Has a wide background in statistics, credit, investments, asset pricing, etc.
| Contact: | | Email address secured by Enkoder. | | Phone | (+45) 3815 3613 | | Fax | (+45) 3815 3600 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Pricing Decomposing Swap Spreads
by Peter Feldhütter of the Copenhagen Business School, and
David Lando of the Copenhagen Business School & Princeton University
(480K PDF) -- 57 pages -- February 20, 2008 Lando, David and Allan Mortensen, " Revisiting the Slope of the Credit Spread Curve", Journal of Investment Management, Vol. 3, No. 4, (Q4 2005), pp. 1-27. Lando, David and Allen Mortensen, " On the Pricing of Step-Up Bonds in the European Telecom Sector", Journal of Credit Risk, Vol. 1, No. 1, (Winter 2004/05), pp. 71-110. Term Structures of Credit Spreads with Incomplete Accounting Information
by Darrell Duffie of Stanford University, and
David Lando of the University of Copenhagen,
(474K PDF) -- 32 pages -- May 2001 Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
by Brian Huge of the University of Copenhagen, and
David Lando of the University of Copenhagen
(169K PDF) -- 30 pages -- January 1999 Credit Modeling Some Elements of Rating-Based Credit Risk Modeling
by David Lando of the University of Copenhagen
(192K PDF) -- 22 pages -- February 24, 1999 Lando, David, " On Cox Processes and Credit Risky Securities", Review of Derivatives Research, Vol. 2, No. 2-3, (December 1998), pp. 99-120. A Markov Model for the Term Structure of Credit Risk Spreads
by Robert A. Jarrow of Cornell University,
David Lando of the University of Copenhagen, and
Stuart M. Turnbull of Queen's University
(467K PDF) -- 43 pages -- Summer 1997 Credit Correlation Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads
by René Kallestrup of Copenhagen Business SchooL,
David Lando of Copenhagen Business SchooL, and
Agatha Murgoci of Copenhagen Business SchooL
(364K PDF) -- 40 pages -- July 12, 2011 Correlation in Corporate Defaults: Contagion or conditional independence?
by David Lando of the Copenhagen Business School, and
Mads Stenbo Nielsen of the Copenhagen Business School
(620K PDF) -- 41 pages -- August 7, 2008 Default Risk and Diversification: Theory and Empirical Implications
by Robert A. Jarrow of Cornell University,
David Lando of the University of Copenhagen, and
Fan Yu of the University of California, Irvine
(197K PDF) -- 26 pages -- January 2005 Credit Scoring Lando, David, Mamdouh Medhat, Mads Stenbo Nielsen, Søren Feodor Nielsen, "Additive Intensity Regression Models in Corporate Default Analysis", Forthcoming: Journal of Financial Econometrics, (2013). Liquidity Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis
by Jens Dick-Nielsen of Copenhagen Business School,
Peter Feldhütter of London Business School, and
David Lando of Copenhagen Business School
(638K PDF) -- 61 pages -- March 15, 2011 Other Credit Christensen, Jens, Ernst Hansen, and David Lando, " Confidence Sets for Continuous-time Rating Transition Probabilities", Journal of Banking & Finance, Vol. 28, No. 11, (November 2004), pp. 2575-2602. Fledelius, Peter, David Lando, and Jens Perch Nielson, " Non-Parametric Analysis of Rating Transition and Default Data", Journal of Investment Management, Vol. 2, No. 2, (Q2 2004), pp. 71-85. Lando, David and Torben Magaard Skødeberg, " Analyzing Rating Transitions and Rating Drift with Continuous Observations", Journal of Banking & Finance, Vol. 26, No. 2-3, (March 2002), pp. 423-444. Books & Chapters: | Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages |  | Handbook of Financial Time Series
by Torben G. Andersen (Editor), Richard A. Davis (Editor), Jens-Peter Kreiß (Editor), Thomas Mikosch (Editor), Springer, May 20, 2009, Hardcover, 1050 pages |  | Structured Credit Products: Pricing, Rating, Risk Management and Basel II
Edited by William Perraudin
Risk Books, (September 2004), Hardcover, 392 pages |  | Credit Risk Modeling: Theory and Applications
by David Lando,
Princeton University Press, (July 2004), Hardcover, 320 pages |  | Advanced Fixed-Income Valuation Tools
by Narasimhan Jegadeesh (Editor), Bruce Tuckman (Editor),
Wiley, (December 28, 1999), Hardcover, 432 pages
Prof. Lando wrote Ch. 7. |  | Mathematics of Derivative Securities
by Michael A. H. Dempster (Editor), Stanley R. Pliska (Editor)
Cambridge University Press, (October 13, 1997), Hardcover, 600 pages |
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