Details about David Lando

Access statistics for papers by David Lando.

Last updated 2018-06-12. 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
   Also in 2016 Meeting Papers, Society for Economic Dynamics (2016)
2. Safe Haven CDS Premiums
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

2004

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

Journal Articles

2017

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

2016

2. Financial sector linkages and the dynamics of bank and sovereign credit spreads
   Journal of Empirical Finance, 2016, 38, (PA), 374-393 View citations (22)

2015

3. Robustness of distance-to-default
   Journal of Banking & Finance, 2015, 50, (C), 493-505 View citations (12)

2014

4. Dynamic capital structure with callable debt and debt renegotiations
   Journal of Corporate Finance, 2014, 29, (C), 644-661 View citations (21)

2013

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

2012

6. Corporate bond liquidity before and after the onset of the subprime crisis
   Journal of Financial Economics, 2012, 103, (3), 471-492 View citations (167)

2010

7. Correlation in corporate defaults: Contagion or conditional independence?
   Journal of Financial Intermediation, 2010, 19, (3), 355-372 View citations (49)

2008

8. Decomposing swap spreads
   Journal of Financial Economics, 2008, 88, (2), 375-405 View citations (74)

2005

9. DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
   Mathematical Finance, 2005, 15, (1), 1-26 View citations (76)
   See also Chapter (2008)

2004

10. Confidence sets for continuous-time rating transition probabilities
    Journal of Banking & Finance, 2004, 28, (11), 2575-2602 View citations (51)

2002

11. Analyzing rating transitions and rating drift with continuous observations
    Journal of Banking & Finance, 2002, 26, (2-3), 423-444 View citations (159)

2001

12. Term Structures of Credit Spreads with Incomplete Accounting Information
    Econometrica, 2001, 69, (3), 633-64 View citations (295)

1999

13. Swap Pricing with Two-Sided Default Risk in a Rating-Based Model
    Review of Finance, 1999, 3, (3), 239-268 View citations (4)

1997

14. A Markov Model for the Term Structure of Credit Risk Spreads
    Review of Financial Studies, 1997, 10, (2), 481-523 View citations (379)
    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 View citations (1)
   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
   See also Journal Article in Mathematical Finance (2005)