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Details about David Lando

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Postal address:Department of Finance Copenhagen Business School Solbjerg Plads 3 DK-2840 Holte DENMARK
Workplace:Copenhagen Business School, (more information at EDIRC)

Access statistics for papers by David Lando.

Last updated 2016-12-18. Update your information in the RePEc Author Service.

Short-id: pla6


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Working Papers

2016

  1. Generalized Recovery
    2016 Meeting Papers, Society for Economic Dynamics Downloads

2004

  1. On the Pricing of Step-Up Bonds in the European Telecom Sector
    Working Papers, Copenhagen Business School, Department of Finance Downloads View citations (5)

Journal Articles

2016

  1. Financial sector linkages and the dynamics of bank and sovereign credit spreads
    Journal of Empirical Finance, 2016, 38, (PA), 374-393 Downloads View citations (7)

2015

  1. Robustness of distance-to-default
    Journal of Banking & Finance, 2015, 50, (C), 493-505 Downloads View citations (7)

2014

  1. Dynamic capital structure with callable debt and debt renegotiations
    Journal of Corporate Finance, 2014, 29, (C), 644-661 Downloads View citations (13)

2013

  1. Additive Intensity Regression Models in Corporate Default Analysis
    Journal of Financial Econometrics, 2013, 11, (3), 443-485 Downloads View citations (3)

2012

  1. Corporate bond liquidity before and after the onset of the subprime crisis
    Journal of Financial Economics, 2012, 103, (3), 471-492 Downloads View citations (89)

2010

  1. Correlation in corporate defaults: Contagion or conditional independence?
    Journal of Financial Intermediation, 2010, 19, (3), 355-372 Downloads View citations (30)

2008

  1. Decomposing swap spreads
    Journal of Financial Economics, 2008, 88, (2), 375-405 Downloads View citations (51)

2005

  1. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Mathematical Finance, 2005, 15, (1), 1-26 Downloads View citations (62)
    See also Chapter (2008)

2004

  1. Confidence sets for continuous-time rating transition probabilities
    Journal of Banking & Finance, 2004, 28, (11), 2575-2602 Downloads View citations (44)

2002

  1. Analyzing rating transitions and rating drift with continuous observations
    Journal of Banking & Finance, 2002, 26, (2-3), 423-444 Downloads View citations (147)

2001

  1. Term Structures of Credit Spreads with Incomplete Accounting Information
    Econometrica, 2001, 69, (3), 633-64 View citations (233)

1999

  1. Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
    Review of Finance, 1999, 3, (3), 239-268 Downloads View citations (2)

1997

  1. A Markov Model for the Term Structure of Credit Risk Spreads
    Review of Financial Studies, 1997, 10, (2), 481-523 View citations (328)
    See also Chapter (2008)

Chapters

2008

  1. A Markov Model for the Term Structure of Credit Risk Spreads
    Chapter 18 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 411-453 Downloads
    See also Journal Article in Review of Financial Studies (1997)
  2. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Chapter 19 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 455-480 Downloads
    See also Journal Article in Mathematical Finance (2005)
 
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