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David Lando

Professor , Cand.scient.oecon, ph.d.
David Lando

Institut for Finansiering

Solbjerg Plads 3, A4.35
2000 Frederiksberg
Tlf.: +45 3815 3613
Fax:3815 3600
E-mail: dl.fi@cbs.dk



Link til denne hjemmeside: www.cbs.dk/staff/dl.fi


Modellering af kreditrisiko.
Risikostyring for finansielle institutioner. Markeder for derivater, rentestrukturteori, porteføljeteori.

Primære forskningsområder

  • Modellering af kreditrisiko
  • Risikostyring for finansielle institutioner
  • Markeder for derivater, rentestrukturteori, porteføljeteori

Administrative funktioner

Leder af Dansk Forskerskole i Finansiering


Udvalgte publikationer

(with Robert Jarrow and Stuart Turnbull) A Markov Model for the Term Structure of Credit Risk Spreads, Review of Financial Studies 1997, vol 10, pp.481-523
On Cox Processes and Credit Risky Securities, Review of Derivatives Research 1998, vol 2, , pp. 99-120
(with Darrell Duffie) Term Structures of Credit Spreads with Incomplete Accounting Information Econometrica. (2001), vol. 69, No.3 (May), pp. 633-664
(with Torben Skødeberg) Analyzing rating transitions and rating drift with continuous observations. Journal of Banking and Finance (2002), vol. 26, pp. 423-444
Credit Risk Modeling – Theory and Applications. Princeton University Press. (2004)
(with Peter Feldhütter) Decomposing Swap Spreads, Journal of Financial Economics, 2008, vol. 88, pp. 375-405. Winner of Award for Best Paper on Quantitative Investments at Western Finance Association’s 2006 meeting
 (with Mads Stenbo Nielsen) Correlation in Corporate Defaults: Contagion or Conditional Independence?, Journal of Financial Intermediation, Vol. 19, issue 3, pp. 355-372


Sidst opdateret af Derek Moore 25.10.2011