David Lando

Copenhagen Business School

Solbjerg Plads 3

Frederiksberg C, DK - 2000

Denmark

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 4,250

in Total Papers Downloads

10,193

SSRN CITATIONS
Rank 1,912

SSRN RANKINGS

Top 1,912

in Total Papers Citations

316

CROSSREF CITATIONS

303

Scholarly Papers (19)

1.
Downloads 1,691 ( 10,755)
Citation 19

Generalized Recovery

Journal of Financial Economics, 133 (1), 154-174, 2019
Number of pages: 62 Posted: 08 Dec 2015 Last Revised: 28 May 2019
Bocconi University, Copenhagen Business School and AQR Capital Management, LLC
Downloads 1,690 (10,580)
Citation 14

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asset pricing theory, financial economics, pricing kernel, risk aversion

Generalized Recovery

CEPR Discussion Paper No. DP12665
Number of pages: 66 Posted: 05 Feb 2018
Copenhagen Business School, AQR Capital Management, LLC and Bocconi University
Downloads 1 (742,940)
Citation 7
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asset pricing theory, financial economics, pricing kernel, risk aversion

Default Risk and Diversification: Theory and Empirical Implications

Number of pages: 34 Posted: 01 Jan 2001
Robert A. Jarrow, David Lando and Fan Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,580 (11,716)
Citation 24

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Default Risk and Diversification: Theory and Empirical Implications

Number of pages: 26 Posted: 30 Dec 2004
Robert A. Jarrow, David Lando and Fan Yu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 16 (615,231)
Citation 3
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Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 21 Mar 2009 Last Revised: 07 Jul 2011
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School
Downloads 1,298 (15,958)
Citation 101

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Corporate bonds, Liquidity, Liquidity risk, Subprime crisis

Corporate Bond Liquidity Before and after the Onset of the Subprime Crisis

EFA 2009 Bergen Meetings Paper
Number of pages: 34 Posted: 10 Feb 2009
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School
Downloads 182 (181,021)
Citation 18

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Corporate bonds, Yield spreads, Liquidity, Subprime Crisis, TRACE

4.

Decomposing Swap Spreads

EFA 2006 Zurich Meetings
Number of pages: 58 Posted: 22 Mar 2005
Peter Feldhütter and David Lando
Copenhagen Business School and Copenhagen Business School
Downloads 1,284 (16,558)
Citation 16

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Swap spreads, corporate bond spreads, term structure of interest rates

5.

Dynamic Capital Structure with Callable Debt and Debt Renegotiations

Number of pages: 40 Posted: 24 Jul 2002
Copenhagen Business School - Department of Finance, Copenhagen Business School, University of Southern Denmark and Copenhagen Business School
Downloads 763 (35,193)
Citation 20

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Correlation in Corporate Defaults: Contagion or Conditional Independence?

Number of pages: 32 Posted: 21 Mar 2008
David Lando and Mads Stenbo Nielsen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 279 (119,140)
Citation 8

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Default correlation, intensity estimation, Hawkes process

Correlation in Corporate Defaults: Contagion or Conditional Independence?

AFA 2010 Atlanta Meetings Paper
Number of pages: 41 Posted: 25 Mar 2009 Last Revised: 14 Dec 2009
David Lando and Mads Stenbo Nielsen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 253 (132,025)
Citation 5

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Default correlation, intensity estimation, Hawkes process

Correlation in Corporate Defaults: Contagion or Conditional Independence?

EFA 2009 Bergen Meetings Paper
Number of pages: 40 Posted: 06 Feb 2009
David Lando and Mads Stenbo Nielsen
Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 176 (186,469)
Citation 8

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Default correlation, intensity estimation, Hawkes

7.

Confidence Sets for Continuous-Time Rating Transition Probabilities

Number of pages: 43 Posted: 23 Jun 2004
FRB of San Francisco - Financial Research, Copenhagen Business School and University of Copenhagen - Department of Applied Mathematics and Statistics
Downloads 524 (57,725)
Citation 34

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8.

Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads

Number of pages: 64 Posted: 17 Mar 2012 Last Revised: 16 Apr 2013
Rene Kallestrup, David Lando and Agatha Murgoci
Capital Four Management, Copenhagen Business School and Aarhus University - School of Business and Social Sciences
Downloads 390 (82,515)
Citation 25

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Credit risk, banks, sovereign risk

On the Pricing of Step-Up Bonds in the European Telecom Sector

Number of pages: 42 Posted: 14 May 2004
David Lando and Allan Mortensen
Copenhagen Business School and Independent
Downloads 379 (84,591)
Citation 10

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defaultable bonds, step-up coupons, rating-based calibration

On the Pricing of Step-Up Bonds in the European Telecom Sector

Posted: 28 Apr 2005
David Lando and Allan Mortensen
Copenhagen Business School and Independent

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Step-up bonds, corporate bonds, telecom sector, telecoms

10.

Safe-Haven CDS Premiums

Number of pages: 82 Posted: 12 Dec 2014 Last Revised: 26 Jan 2018
Sven Klingler and David Lando
BI Norwegian Business School and Copenhagen Business School
Downloads 351 (93,217)
Citation 8

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CDS premiums, Capital charges, CVA, CDS-bond basis

11.

Quanto CDS Spreads

Number of pages: 91 Posted: 10 Nov 2018
David Lando and Andreas Bang Nielsen
Copenhagen Business School and Cornerstone Research
Downloads 343 (95,949)
Citation 4

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Sovereign Credit Risk, CDS Premiums, Currency Risk, Systemic Risk

Swap Pricing with Two-Sided Default Risk in a Rating-Based Model

Number of pages: 30 Posted: 29 Mar 2001
David Lando and Brian Huge
Copenhagen Business School and University of Copenhagen - Department of Statistics and Operations Research
Downloads 343 (94,964)
Citation 9

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Swaps, default risk

Swap Pricing with Two-Sided Default Risk in a Rating-Based Model

Posted: 29 Mar 2001
David Lando and Brian Huge
Copenhagen Business School and University of Copenhagen - Department of Statistics and Operations Research

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Swaps, default risk

13.

Robustness of Distance-to-Default

26th Australasian Finance and Banking Conference 2013
Number of pages: 25 Posted: 17 Aug 2013
Cathrine Jessen and David Lando
Copenhagen Business School - Department of Finance and Copenhagen Business School
Downloads 305 (108,863)
Citation 10

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Default risk, default prediction, distance-to-default, stochastic volatility

14.

Cyclicality and Firm-size in Private Firm Defaults

International Journal of Central Banking (Forthcoming)
Number of pages: 40 Posted: 19 Nov 2016
Thais Jensen, David Lando and Mamdouh Medhat
Independent, Copenhagen Business School and City University London - Sir John Cass Business School
Downloads 35 (483,798)

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Capital charges, SME, Default risk, Macroeconomic cycles

15.

Safe Haven CDS Premiums

CEPR Discussion Paper No. DP12694
Number of pages: 85 Posted: 14 Feb 2018
David Lando
Copenhagen Business School
Downloads 1 (708,574)
Citation 1
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capital charges, CDS premiums, CDS-bond basis, CVA

16.

Revisiting the Slope of the Credit Spread Curve

Journal of Investment Management, Vol. 3, No. 4, Fourth Quarter 2005
Posted: 26 Oct 2005
David Lando and Allan Mortensen
Copenhagen Business School and Independent

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Term structure of credit spreads, slope, credit default swaps, types of recovery

17.

Non-Parametric Analysis of Rating Transition and Default Data

Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004
Posted: 26 Jul 2004
Royal&SunAlliance, Copenhagen Business School and City University London - Cass Business School

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Credit ratings, transition probabilities, non-Markov effects, non-parametric analysis

18.

On Cox Processes and Credit Risky Bonds

Posted: 08 Sep 1999
David Lando
Copenhagen Business School

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A Markov Model for the Term Structure of Credit Risk Spreads

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 2
Posted: 02 Apr 1997
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School and University of Houston - C.T. Bauer College of Business

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A Markov Model for the Term Structure of Credit Risk Spreads

Posted: 22 Sep 1995
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School and University of Houston - C.T. Bauer College of Business

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