David Lando

Copenhagen Business School - Department of Finance

Solbjerg Plads 3, SOL/A4.17

Copenhagen, Frederiksberg 2000

  • Copenhagen Business School - Department of Finance

SCHOLARLY PAPERS

24

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653

CROSSREF CITATIONS

224

Scholarly Papers (24)

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1.

Generalized Recovery

Downloads 1,951 (14,737)
Citation 32

Generalized Recovery

Journal of Financial Economics, 133 (1), 154-174, 2019
Number of pages: 62 Posted: 08 Dec 2015 Last Revised: 28 May 2019
Christian Skov Jensen, David Lando and Lasse Heje Pedersen
Bocconi University, Copenhagen Business School - Department of Finance and AQR Capital Management, LLC
Downloads 1,950 (14,495)
Citation 15

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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
David Lando, Lasse Heje Pedersen and Christian Skov Jensen
Copenhagen Business School - Department of Finance, AQR Capital Management, LLC and Bocconi University
Downloads 1 (1,096,078)
Citation 17
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asset pricing theory, financial economics, pricing kernel, risk aversion

2.

Quanto CDS Spreads

Number of pages: 91 Posted: 10 Nov 2018
David Lando and Andreas Bang Nielsen
Copenhagen Business School - Department of Finance and PIMCO
Downloads 1,671 (18,754)
Citation 3

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

3.

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 - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,658 (18,958)
Citation 29

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4.

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

Downloads 1,637 (19,334)
Citation 234

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
Jens Dick-Nielsen, Peter Feldhütter and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 1,389 (24,378)
Citation 122

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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
Jens Dick-Nielsen, Peter Feldhütter and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 248 (211,698)
Citation 19

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

5.

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 - Department of Finance
Downloads 1,420 (24,004)
Citation 42

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

6.

Correlation in Corporate Defaults: Contagion or Conditional Independence?

Downloads 830 (51,618)
Citation 23

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 - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 317 (164,414)
Citation 5

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Default correlation, intensity estimation, Hawkes process

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 - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 308 (169,520)
Citation 8

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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 - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 205 (254,152)
Citation 14

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Default correlation, intensity estimation, Hawkes

7.

Dynamic Capital Structure with Callable Debt and Debt Renegotiations

Number of pages: 40 Posted: 24 Jul 2002
Peter O. Christensen, David Lando, Christian Riis Flor and Kristian R. Miltersen
Copenhagen Business School - Department of Finance, Copenhagen Business School - Department of Finance, University of Southern Denmark and Copenhagen Business School
Downloads 804 (53,868)
Citation 23

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8.

Confidence Sets for Continuous-Time Rating Transition Probabilities

Number of pages: 43 Posted: 23 Jun 2004
Jens Henrik Eggert Christensen, David Lando and Ernst Hansen
FRB of San Francisco - Financial Research, Copenhagen Business School - Department of Finance and University of Copenhagen - Department of Applied Mathematics and Statistics
Downloads 580 (82,028)
Citation 35

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9.

Hybrid Bank Capital: The Economics of Uneconomic AT1 Calls

Number of pages: 38 Posted: 01 Jul 2023
Mathi Danmark and David Lando
Nykredit Bank and Copenhagen Business School - Department of Finance
Downloads 473 (105,749)

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Hybrid bank capital, AT1, callable bonds

10.

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 - Department of Finance
Downloads 432 (117,736)
Citation 10

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

11.

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

Downloads 430 (118,066)

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 - Department of Finance and Independent
Downloads 430 (116,852)
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 - Department of Finance and Independent

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

12.

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 - Department of Finance and Aarhus University - School of Business and Social Sciences
Downloads 422 (120,721)
Citation 29

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Credit risk, banks, sovereign risk

13.

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 - Department of Finance
Downloads 417 (122,363)
Citation 9

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

14.

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

Downloads 371 (139,665)
Citation 11

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 - Department of Finance and University of Copenhagen - Department of Statistics and Operations Research
Downloads 371 (138,568)
Citation 11

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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 - Department of Finance and University of Copenhagen - Department of Statistics and Operations Research

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Swaps, default risk

15.

Bank Equity Risk

Number of pages: 48 Posted: 02 Feb 2023 Last Revised: 03 Jul 2023
Jens Dick-Nielsen, Zhuolu Gao and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 296 (177,836)

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Bank equity, capital requirements, equity risk, bank debt, market-to-book ratio

16.

The Financial Premium

Number of pages: 45 Posted: 27 Dec 2022
Jens Dick-Nielsen, Peter Feldhütter and David Lando
Copenhagen Business School - Department of Finance, Copenhagen Business School and Copenhagen Business School - Department of Finance
Downloads 201 (259,344)

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Credit Spreads, Risk Premia, Financial institutions, Systemic risk

17.

Cyclicality and Firm-size in Private Firm Defaults

International Journal of Central Banking (Forthcoming)
Number of pages: 40 Posted: 19 Nov 2016
Thais Laerkholm Jensen, David Lando and Mamdouh Medhat
Independent, Copenhagen Business School - Department of Finance and Dimensional Fund Advisors
Downloads 72 (552,616)

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Capital charges, SME, Default risk, Macroeconomic cycles

18.

Forgiven But Not Forgotten: Emerging-Market Credit Spreads Following Debt Relief

Number of pages: 52 Posted: 29 Sep 2023
Zhuolu Gao, Mikkel V Hauerberg, David Lando and Aleksander Tetzlaff
Copenhagen Business School - Department of Finance, Bayview Asset Management, Copenhagen Business School - Department of Finance and Danske Capital
Downloads 46 (684,647)

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Emerging-market sovereign debt, debt relief, stigma

19.

Safe Haven CDS Premiums

CEPR Discussion Paper No. DP12694
Number of pages: 85 Posted: 14 Feb 2018
David Lando
Copenhagen Business School - Department of Finance
Downloads 1 (1,051,885)
Citation 1
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capital charges, CDS premiums, CDS-bond basis, CVA

20.

Credit Default Swaps: A Primer and Some Recent Trends

Annual Review of Financial Economics, Vol. 12, pp. 177-192, 2020
Posted: 10 Dec 2020
David Lando
Copenhagen Business School - Department of Finance

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21.

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 - Department of Finance and Independent

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

22.

Non-Parametric Analysis of Rating Transition and Default Data

Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004
Posted: 26 Jul 2004
Peter Fledelius, David Lando and Jens Perch Nielsen
Royal&SunAlliance, Copenhagen Business School - Department of Finance and City University London - Cass Business School

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

23.

On Cox Processes and Credit Risky Bonds

Posted: 08 Sep 1999
David Lando
Copenhagen Business School - Department of Finance

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24.

A Markov Model for the Term Structure of Credit Risk Spreads

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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
Robert A. Jarrow, David Lando and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School - Department of Finance 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
Robert A. Jarrow, David Lando and Stuart M. Turnbull
Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School - Department of Finance and University of Houston - C.T. Bauer College of Business

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