Department of Finance

  • Center for Financial Frictions
PhD, Director of Center for Financial Frictions (FRIC)

Room: SOL/A4.04
E-mail: dl.fi@cbs.dk

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.

Primary research areas
  • Credit Risk Modeling
  • Financial Risk Management
  • Derivatives Markets
  • The Firm's Capital Structure
Link to this homepage

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.
Publications sorted by:
Jesper Berg; David Lando / Finanstilsynets organisering
In: Finans/Invest, No. 2, 2019, p. 15-18,31
Journal article
David Lando; Lasse Heje Pedersen; Christian Skov Jensen / Generalized Recovery
London : Centre for Economic Policy Research 2018, 66 p. (Centre for Economic Policy Research. Discussion Papers, No. DP12665)
Working paper
David Lando; Andreas Bang Nielsen / Quanto CDS Spreads
: SSRN: Social Science Research Network 2018, 91 p.
Working paper
Sven Klingler; David Lando / Safe Haven CDS Premiums
London : Centre for Economic Policy Research 2018, p. 85 (Centre for Economic Policy Research. Discussion Papers, No. DP12694)
Working paper
Sven Klingler; David Lando / Safe Haven CDS Premiums
In: Review of Financial Studies, Vol. 31, No. 5, 2018, p. 1855-1895
Journal article > peer review
Thais Lærkholm Jensen; David Lando; Mamdouh Medhat / Cyclicality and Firm Size in Private Firm Defaults
In: International Journal of Central Banking, Vol. 13, No. 4, 2017, p. 97-145
Journal article > peer review
Christian Skov Jensen; David Lando; Lasse Heje Pedersen / Generalized Recovery
www : SSRN: Social Science Research Network 2017, 63 p.
Working paper
Christian Skov Jensen; David Lando; Lasse Heje Pedersen / Generalized Recovery
Paper presented at The 77th Annual Meeting of American Finance Association. AFA 2017, 2017
Paper > peer review
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 > peer review
René Kallestrup; David Lando; Agatha Murgoci / Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads
In: Journal of Empirical Finance, Vol. 38, No. Part A, 9.2016, p. 374-393
Journal article > peer review
More results... (total 38 results)