Department of Finance

PhD, Director of Center for Financial Frictions (FRIC)

Room: SOL/A4.04
E-mail: dl.fi@cbs.dk
Link to staff external Website:
Primary research areas
  • Credit Risk Modeling
  • Financial Risk Management
  • Derivatives Markets
  • The Firm's Capital Structure
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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.


Credit Risk: Models and Applications


PhD and Master's theses

Selected publications
  • Christensen, P. O., Flor, C. R., Lando D. & Miltersen, K.R. (2014). Dynamic Capital Structure with Callable Debt and Debt Renegotiations. Journal of Corporate Finance, 29, 644–661
  • 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.
Jens Dick-Nielsen; David Lando / Corporate Bonds
In: Handbook of Fixed-Income Securities. ed. /Pietro Verones. Hobroken, N.J : Wiley 2016, p. 541-560
Book chapter
Christian Skov Jensen; David Lando; Lasse Heje Pedersen / Generalized Recovery
Paper presented at 2016 Annual Meeting of the Society for Economic Dynamics , 2016
Cathrine Jessen; David Lando / Robustness of Distance-to-Default
In: Journal of Banking & Finance, Vol. 50, 1.2015, p. 493–505
Journal article
Peter Ove Christensen; Christian Riis Flor; David Lando / Dynamic Capital Structure with Callable Debt and Debt Renegotiations
In: Journal of Corporate Finance, Vol. 29, 12.2014, p. 644-661
Journal article
René Kallestrup; David Lando; Agatha Murgoci / Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads
Paper presented at Conferinta Stiintifica Anuala a Economistilor Romani din Mediul Academic din Strainatate. ERMAS 2014, 2014
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
Cathrine Jessen; David Lando / Robustness of Distance-to-Default
In: 26th Australasian Finance & Banking Conference 2013. ed. /Fariborz Moshirian. Sydney : UNSW Australia Business School 2013
Article in proceedings
Cathrine Jessen; David Lando / Robustness of Distance-to-Default
Paper presented at The 3rd International Conference of the Financial Engineering and Banking Society (FEBS), 2013
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
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
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