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.
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