Details about David Lando
Access statistics for papers by David Lando.
Last updated 2021-11-05. Update your information in the RePEc Author Service.
Short-id: pla6
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Working Papers
2018
- Generalized Recovery
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) 
See also Journal Article in Journal of Financial Economics (2019)
- Safe Haven CDS Premiums
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
See also Journal Article in Review of Financial Studies (2018)
2004
- 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
2020
- Credit Default Swaps: A Primer and Some Recent Trends
Annual Review of Financial Economics, 2020, 12, (1), 177-192
2019
- Generalized recovery
Journal of Financial Economics, 2019, 133, (1), 154-174 View citations (7)
See also Working Paper (2018)
2018
- Safe Haven CDS Premiums
Review of Financial Studies, 2018, 31, (5), 1856-1895 View citations (7)
See also Working Paper (2018)
2017
- Cyclicality and Firm Size in Private Firm Defaults
International Journal of Central Banking, 2017, 13, (4), 97-145 View citations (3)
2016
- Financial sector linkages and the dynamics of bank and sovereign credit spreads
Journal of Empirical Finance, 2016, 38, (PA), 374-393 View citations (53)
2015
- Robustness of distance-to-default
Journal of Banking & Finance, 2015, 50, (C), 493-505 View citations (24)
2014
- Dynamic capital structure with callable debt and debt renegotiations
Journal of Corporate Finance, 2014, 29, (C), 644-661 View citations (28)
2013
- Additive Intensity Regression Models in Corporate Default Analysis
The Journal of Financial Econometrics, 2013, 11, (3), 443-485 View citations (3)
2012
- Corporate bond liquidity before and after the onset of the subprime crisis
Journal of Financial Economics, 2012, 103, (3), 471-492 View citations (299)
2010
- Correlation in corporate defaults: Contagion or conditional independence?
Journal of Financial Intermediation, 2010, 19, (3), 355-372 View citations (75)
2008
- Decomposing swap spreads
Journal of Financial Economics, 2008, 88, (2), 375-405 View citations (109)
2005
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
Mathematical Finance, 2005, 15, (1), 1-26 View citations (91)
See also Chapter (2008)
2004
- Confidence sets for continuous-time rating transition probabilities
Journal of Banking & Finance, 2004, 28, (11), 2575-2602 View citations (54)
2002
- Analyzing rating transitions and rating drift with continuous observations
Journal of Banking & Finance, 2002, 26, (2-3), 423-444 View citations (202)
2001
- Term Structures of Credit Spreads with Incomplete Accounting Information
Econometrica, 2001, 69, (3), 633-64 View citations (375)
1999
- Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
Review of Finance, 1999, 3, (3), 239-268 View citations (18)
1997
- A Markov Model for the Term Structure of Credit Risk Spreads
Review of Financial Studies, 1997, 10, (2), 481-523 View citations (455)
See also Chapter (2008)
Chapters
2013
- Some Lessons From CDO Markets on Mathematical Models
Palgrave Macmillan
2008
- 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 (1)
See also Journal Article in Review of Financial Studies (1997)
- 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 in Mathematical Finance (2005)
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