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
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Working Papers
2018
- 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)
- Safe Haven CDS Premiums
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
See also Journal Article Safe Haven CDS Premiums, The Review of Financial Studies, Society for Financial Studies (2018) View citations (16) (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
2022
- Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood
Mathematical Finance, 2022, 32, (4), 1214-1230
2020
- Credit Default Swaps: A Primer and Some Recent Trends
Annual Review of Financial Economics, 2020, 12, (1), 177-192 View citations (3)
2019
- 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
- Safe Haven CDS Premiums
The Review of Financial Studies, 2018, 31, (5), 1856-1895 View citations (16)
See also Working Paper Safe Haven CDS Premiums, CEPR Discussion Papers (2018) View citations (16) (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 (61)
2015
- Robustness of distance-to-default
Journal of Banking & Finance, 2015, 50, (C), 493-505 View citations (27)
2014
- Dynamic capital structure with callable debt and debt renegotiations
Journal of Corporate Finance, 2014, 29, (C), 644-661 View citations (31)
2013
- Additive Intensity Regression Models in Corporate Default Analysis
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 (359)
2010
- Correlation in corporate defaults: Contagion or conditional independence?
Journal of Financial Intermediation, 2010, 19, (3), 355-372 View citations (80)
2008
- Decomposing swap spreads
Journal of Financial Economics, 2008, 88, (2), 375-405 View citations (121)
2005
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
Mathematical Finance, 2005, 15, (1), 1-26 View citations (98)
See also Chapter DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS, World Scientific Book Chapters, 2008, 455-480 (2008) (2008)
2004
- Confidence sets for continuous-time rating transition probabilities
Journal of Banking & Finance, 2004, 28, (11), 2575-2602 View citations (59)
2002
- Analyzing rating transitions and rating drift with continuous observations
Journal of Banking & Finance, 2002, 26, (2-3), 423-444 View citations (220)
2001
- Term Structures of Credit Spreads with Incomplete Accounting Information
Econometrica, 2001, 69, (3), 633-64 View citations (397)
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
The Review of Financial Studies, 1997, 10, (2), 481-523 View citations (481)
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
- 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 (2)
See also Journal Article A Markov Model for the Term Structure of Credit Risk Spreads, Society for Financial Studies (1997) View citations (481) (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 DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS, Wiley Blackwell (2005) View citations (98) (2005)
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