Details about David Lando

Access statistics for papers by David Lando.

Last updated 2023-05-09. Update your information in the RePEc Author Service.

Short-id: pla6

Working Papers

2018

1. Generalized Recovery
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
   Also in 2016 Meeting Papers, Society for Economic Dynamics (2016)
   See also Journal Article Generalized recovery, Journal of Financial Economics, Elsevier (2019) View citations (8) (2019)
2. Safe Haven CDS Premiums
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
   See also Journal Article Safe Haven CDS Premiums, The Review of Financial Studies, Society for Financial Studies (2018) View citations (17) (2018)

2004

3. On the Pricing of Step-Up Bonds in the European Telecom Sector
   Working Papers, Copenhagen Business School, Department of Finance View citations (6)

Journal Articles

2022

1. Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood
   Mathematical Finance, 2022, 32, (4), 1214-1230

2020

2. Credit Default Swaps: A Primer and Some Recent Trends
   Annual Review of Financial Economics, 2020, 12, (1), 177-192 View citations (3)

2019

3. Generalized recovery
   Journal of Financial Economics, 2019, 133, (1), 154-174 View citations (8)
   See also Working Paper Generalized Recovery, CEPR Discussion Papers (2018) View citations (1) (2018)

2018

4. Safe Haven CDS Premiums
   The Review of Financial Studies, 2018, 31, (5), 1856-1895 View citations (17)
   See also Working Paper Safe Haven CDS Premiums, CEPR Discussion Papers (2018) View citations (17) (2018)

2017

5. Cyclicality and Firm Size in Private Firm Defaults
   International Journal of Central Banking, 2017, 13, (4), 97-145 View citations (4)

2016

6. Financial sector linkages and the dynamics of bank and sovereign credit spreads
   Journal of Empirical Finance, 2016, 38, (PA), 374-393 View citations (63)

2015

7. Robustness of distance-to-default
   Journal of Banking & Finance, 2015, 50, (C), 493-505 View citations (30)

2014

8. Dynamic capital structure with callable debt and debt renegotiations
   Journal of Corporate Finance, 2014, 29, (C), 644-661 View citations (32)

2013

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

2012

10. Corporate bond liquidity before and after the onset of the subprime crisis
    Journal of Financial Economics, 2012, 103, (3), 471-492 View citations (373)

2010

11. Correlation in corporate defaults: Contagion or conditional independence?
    Journal of Financial Intermediation, 2010, 19, (3), 355-372 View citations (80)

2008

12. Decomposing swap spreads
    Journal of Financial Economics, 2008, 88, (2), 375-405 View citations (123)

2005

13. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
    Mathematical Finance, 2005, 15, (1), 1-26 View citations (100)
    See also Chapter DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS, World Scientific Book Chapters, 2008, 455-480 (2008) (2008)

2004

14. Confidence sets for continuous-time rating transition probabilities
    Journal of Banking & Finance, 2004, 28, (11), 2575-2602 View citations (59)

2002

15. Analyzing rating transitions and rating drift with continuous observations
    Journal of Banking & Finance, 2002, 26, (2-3), 423-444 View citations (222)

2001

16. Term Structures of Credit Spreads with Incomplete Accounting Information
    Econometrica, 2001, 69, (3), 633-64 View citations (404)

1999

17. Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
    Review of Finance, 1999, 3, (3), 239-268 View citations (18)

1997

18. A Markov Model for the Term Structure of Credit Risk Spreads
    The Review of Financial Studies, 1997, 10, (2), 481-523 View citations (483)
    See also Chapter A Markov Model for the Term Structure of Credit Risk Spreads, World Scientific Book Chapters, 2008, 411-453 (2008) View citations (2) (2008)

Chapters

2013

1. Some Lessons From CDO Markets on Mathematical Models
   Palgrave Macmillan

2008

2. 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 View citations (2)
   See also Journal Article A Markov Model for the Term Structure of Credit Risk Spreads, Society for Financial Studies (1997) View citations (483) (1997)
3. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
   Chapter 19 in Financial Derivatives Pricing Selected Works of Robert Jarrow, 2008, pp 455-480
   See also Journal Article DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS, Wiley Blackwell (2005) View citations (100) (2005)