David Lando

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.

Web Pages:
Official Home Page	David Lando	Has research and CV.
Personal Home Page	David Lando	Contact Information, Interests, & Select Publications.
	David Lando	(Typically) Current & Past Affiliations, Education, Connections, etc.
Worldwide Directory of Finance Faculty	David Lando University of Copenhagen	Contact information, Research,  CV, & Teaching.

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", 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

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 at Irvine
(197K PDF) -- 26 pages -- January 2005

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:

	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
	Mathematics of Derivative Securities by Michael A. H. Dempster (Editor), Stanley R. Pliska (Editor) Cambridge University Press, (October 13, 1997), Hardcover, 600 pages

[Home]  [Credit Researchers]  [Top Ten Most Prolific]