Department of Finance

dlfi

Department of Finance

  • Center for Financial Frictions
David
Lando
Professor
,
PhD, Centerleder for Center for Financial Frictions (FRIC)


Kontor: SOL/A4.04
Tel:
+4538153613
E-mail: dl.fi@cbs.dk
Præsentation

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.

Primære forskningsområder
  • Credit Risk Modeling
  • Financial Risk Management
  • Derivatives Markets
  • The Firm's Capital Structure
Links

David Lando Personal Website

Link til denne hjemmeside
www.cbs.dk/staff/dlfi
Kurser

Credit Risk: Models and Applications

Vejledning

PhD and Master's theses

Udvalgte publikationer
  • 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.
Publikationer sorteret efter:
2022
Benjamin Christoffersen; David Lando; Søren Feodor Nielsen / Estimating Volatility in the Merton Model : The KMV Estimate is not Maximum Likelihood.
I: Mathematical Finance, Vol. 32, Nr. 4, 10.2022, s. 1214-1230
Tidsskriftartikel > peer review
2020
David Lando / Credit Default Swaps : A Primer and Some Recent Trends.
I: Annual Review of Financial Economics, Vol. 12, Nr. 1, 2020, s. 177-192
Tidsskriftartikel > peer review
Mikkel Vittrup Hauerberg; David Lando; Aleksander Koldborg Tetzlaff / Forgiven but not Forgotten : Emerging Market Credit Spreads Following Debt Relief.
Paper presented at The 47th European Finance Association Annual Meeting. EFA 2020, 2020
Paper > peer review
2019
Jesper Berg; David Lando / Finanstilsynets organisering
I: Finans/Invest, Nr. 2, 2019, s. 15-18,31
Tidsskriftartikel > peer review
Christian Skov Jensen; David Lando; Lasse Heje Pedersen / Generalized Recovery
I: Journal of Financial Economics, Vol. 133, Nr. 1, 7.2019, s. 154-174
Tidsskriftartikel > peer review
2018
David Lando; Lasse Heje Pedersen; Christian Skov Jensen / Generalized Recovery
London : Centre for Economic Policy Research 2018, 66 s. (Centre for Economic Policy Research. Discussion Papers, Nr. DP12665)
Working paper
David Lando; Andreas Bang Nielsen / Quanto CDS Spreads
: SSRN: Social Science Research Network 2018, 91 s.
Working paper
Sven Klingler; David Lando / Safe Haven CDS Premiums
London : Centre for Economic Policy Research 2018, s. 85 (Centre for Economic Policy Research. Discussion Papers, Nr. DP12694)
Working paper
Sven Klingler; David Lando / Safe Haven CDS Premiums
I: Review of Financial Studies, Vol. 31, Nr. 5, 5.2018, s. 1855-1895
Tidsskriftartikel > peer review
2017
Thais Lærkholm Jensen; David Lando; Mamdouh Medhat / Cyclicality and Firm Size in Private Firm Defaults
I: International Journal of Central Banking, Vol. 13, Nr. 4, 2017, s. 97-145
Tidsskriftartikel > peer review
Flere resultater ...(i alt 44 )
Forskningsprojekter
Bibeskæftigelse
  • Senior fellow, Reviewing and providing feedback on research reports for Kraka, November 2020- present
  • Chairman of the board of The Danish Financial Supervisory Authority (Finanstilsynet), June 2018 - June 2020
  • Vice chairman of the board of The Danish Financial Supervisory Authority (Finanstilsynet), Jan - June 2018 (first appointment in 2014)
  • Lecture on securitization at Capital Four Management, June 2019
  • Advice on an option pricing problem for Shell, spring 2018