dlfi
Department of Finance

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 Modeling
- Financial Risk Management
- Derivatives Markets
- The Firm's Capital Structure
Credit Risk: Models and Applications
PhD and Master's theses
- 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.
I: International Journal of Central Banking, Vol. 13, Nr. 4, 2017, s. 97-145
Paper presented at The 77th Annual Meeting of American Finance Association. AFA 2017, 2017
I: Handbook of Fixed-income Securities. red. /Pietro Verones. Hobroken, N.J : Wiley 2016, s. 541-560
I: Journal of Empirical Finance, Vol. 38, Nr. Part A, 9.2016, s. 374-393
Paper presented at The 43rd European Finance Association Annual Meeting (EFA 2016), 2016
Paper presented at 2016 Annual Meeting of the Society for Economic Dynamics , 2016
Paper presented at The 76th Annual Meeting of American Finance Association. AFA 2016, 2016
I: Journal of Banking & Finance, Vol. 50, 1.2015, s. 493–505
I: Journal of Corporate Finance, Vol. 29, 12.2014, s. 644-661
Paper presented at Conferinta Stiintifica Anuala a Economistilor Romani din Mediul Academic din Strainatate. ERMAS 2014, 2014
I: Journal of Financial Econometrics, Vol. 11, Nr. 3, 6.2013, s. 443-485
I: 26th Australasian Finance & Banking Conference 2013. red. /Fariborz Moshirian. Sydney : UNSW Australia Business School 2013
Paper presented at The 3rd International Conference of the Financial Engineering and Banking Society (FEBS), 2013
I: Global Asset Management: Strategies, Risks, Processes and Technologies. . red. /Michael Pinedo; Ingo Walter. Basingstoke : Palgrave Macmillan 2013, s. 74-92
I: Journal of Financial Economics, Vol. 103, Nr. 3, 2012, s. 471-492
Paper presented at The 39th European Finance Association Annual Meeting (EFA 2012), 2012
I: Journal of Financial Intermediation, Vol. 19, Nr. 3, 2010, s. 355-372
I: Encyclopedia of Quantitative Finance. red. /Rama Cont. : Wiley 2010, s. 1484-1488
I: Handbook of Financial Time Series. red. /Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiss; Thomas Mikosch. Berlin : Springer Science+Business Media B.V. 2009, s. 787-798
I: Journal of Financial Economics, Vol. 88, Nr. 2, 2008, s. 375-405
I: Encyclopedia of Quantitative Assessment and Analysis. red. /E. Melnick; B. Everitt. : Wiley 2008, s. 937-940
I: Mathematical Finance, Vol. 15, Nr. 1, 2005, s. 1-26
I: Journal of Credit Risk, Vol. 1, Nr. 1, 2005, s. 71-110
I: Journal of Investment Management, Vol. 3, Nr. 4, 2005, s. 1-27
I: Journal of Banking & Finance, Vol. 28, Nr. 11, 2004, s. 2575-2602
I: Journal of Investment Management, Vol. 2, Nr. 2, 2004, s. 71-85
London : Centre for Economic Policy Research 2018, 66 s. (Centre for Economic Policy Research. Discussion Papers, Nr. DP12665)
London : Centre for Economic Policy Research 2018, s. 85 (Centre for Economic Policy Research. Discussion Papers, Nr. DP12694)
www : SSRN: Social Science Research Network 2017, 63 s.
I: Lessons from the Financial Crisis: Insights from the Defining Economic Event of our Lifetime. . red. /Arthur M. Berd. : Risk Books 2010, s. 65-120
I: Understanding the Financial Crisis: Investment, Risk and Governance. . red. /Steen Thomsen; Caspar Rose; Ole Risager. Copenhagen : SimCorp StrategyLab 2009, s. 52-69
I: Udviklingslinier i finansiering. red. /Michael Christensen. 2005, s. 183-214
Princeton, NJ : Princeton University Press 2004, 310 s.
I: Structured Credit Products. red. /William Perraudin. London : Risk Books 2004, s. 69-83
København : Copenhagen Business School [wp] 2004, 47 s.
I: Berlingske Tidende, 9.3.2011
I: Aktionæren, Vol. 18, Nr. 10, 2008, s. 24-26
I: Financial Engineering News, Vol. Nov/Dec, Nr. 52, 2006
I: Børsen, 2004