dlfi

Department of Finance

David
Lando
Professor
,
PhD, Director of Center for Financial Frictions (FRIC)


Room: SOL/A4.04
Tel:
+45 38153613
E-mail: dl.fi@cbs.dk
Primary research area
  • Credit Risk Modeling
  • Financial Risk Management
  • Derivatives Markets
  • The Firm's Capital Structure
Links
Link to this homepage
www.cbs.dk/en/staff/dlfi
Presentation

I am a Professor of Finance at Copenhagen Business School and Director of the Center for Financial Frictions (FRIC) funded by the Danish National Research Foundation. I hold a Master's degree from the joint mathematics-economics program at the University of Copenhagen and a PhD in statistics from Cornell University.
My main area of research in finance is credit risk modelling and risk management and some of my work has appeared in Econometrica, Journal of Financial Economics and Review of Financial Studies. I am the author of a monograph on credit risk modeling published by Princeton University Press.
I have been a visiting scholar at among other places Princeton University, the Federal Reserve Board in Washington, The Federal Reserve Bank of New York.
Before joining Copenhagen Business School, I was a Professor at the Department of Applied Mathematics and Statistics at the University of Copenhagen.

Courses

Credit Risk: Models and Applications

Supervision

PhD and Master's theses

Selected publications
  • Dick-Nielsen, J., Feldhütter, P. & Lando, D. (2012). Corporate bond liquidity before and after the onset of the subprime crisis. Journal of Financial Economics 103, 471–492
  • Lando, D. (2004). Credit Risk Modeling - Theory and Applications. Princeton: Princeton University Press
  • Duffie, D. & Lando, D. (2001). Term Structures of Credit Spreads with Incomplete Accounting Information. Econometrica 69(3), 633-664
  • Lando, D. (1998). On Cox Processes and Credit Risky Securities. Review of Derivatives Research 2, 99-120.
  • Jarrow R., Lando, D. & Turnbull, S. (1997). A Markov Model for the Term Structure of Credit Risk Spreads. Review of Financial Studies 10, 481-523.
Publications
2013
David Lando; Mamdouh Medhat; Mads Stenbo Nielsen; Søren Feodor Nielsen / Additive Intensity Regression Models in Corporate Default Analysis
In: Journal of Financial Econometrics, Vol. 11, No. 3, 6.2013, p. 443-485
Journal article
Peter Ove Christensen; Christian Riis Flor; David Lando / Dynamic Capital Structure with Callable Debt and Debt Renegotiations
In: Journal of Corporate Finance, 10.9.2013
Journal article
Cathrine Jessen; David Lando / Robustness of Distance-to-Default
Paper presented at The 3rd International Conference of the Financial Engineering and Banking Society (FEBS), Paris, Frankrig. 2013
Paper
David Lando / Some Lessons From CDO Markets on Mathematical Models
In: Global Asset Management: Strategies, Risks, Processes and Technologies. . ed. /Michael Pinedo; Ingo Walter. Basingstoke : Palgrave Macmillan 2013, p. 74-92
Book chapter
2012
Jens Dick-Nielsen; Peter Feldhütter; David Lando / Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis
In: Journal of Financial Economics, Vol. 103, No. 3, 2012, p. 471-492
Journal article
René Kallestrup; David Lando; Agatha Murgoci / Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads
Paper presented at The 39th European Finance Association Annual Meeting (EFA 2012), Frederiksberg, Danmark. 2012
Paper
2010
David Lando; Mads Stenbo Nielsen / Correlation in Corporate Defaults : Contagion or Conditional Independence?.
In: Journal of Financial Intermediation, Vol. 19, No. 3, 2010, p. 355-372
Journal article
David Lando / Rating Transition Matrices
In: Encyclopedia of Quantitative Finance. ed. /Rama Cont. : John Wiley & Sons Ltd 2010, p. 1484-1488
Encyclopedia chapter
2009
David Lando / Credit Risk Modeling
In: Handbook of Financial Time Series. ed. /Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiss; Thomas Mikosch. Berlin : Springer 2009, p. 787-798
Book chapter
2008
Peter Feldhütter; David Lando / Decomposing swap spreads
In: Journal of Financial Economics, Vol. 88, No. 2, 2008, p. 375-405
Journal article
More results... (total 16 results)