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David Lando

Professor , M.Sc., PhD
David Lando

Department of Finance

Solbjerg Plads 3, A5
2000 Frederiksberg
Tel.: +45 3815 3613
Fax:3815 3600
E-mail: dl.fi@cbs.dk



Link to this homepage: uk.cbs.dk/staff/dl.fi


Credit Risk Modelling
Risk management for financial institutions. Derivative markets. Portfolio theory.

Primary research areas

  • Credit risk modeling
  • Risk management for financial institutions
  • Derivatives markets, term structure theory, portfolio theory

Administrative functions

Director of the Danish Doctoral School in Finance


Selected publications

(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


Last updated by Derek Moore 25/10/2011