David Lando
TitleCited byYear
A Markov model for the term structure of credit risk spreads
RA Jarrow, D Lando, SM Turnbull
The review of financial studies 10 (2), 481-523, 1997
20881997
On Cox processes and credit risky securities
D Lando
Review of Derivatives research 2 (2-3), 99-120, 1998
16791998
Term structures of credit spreads with incomplete accounting information
D Duffie, D Lando
Econometrica 69 (3), 633-664, 2001
14832001
Credit risk modeling: theory and applications
D Lando
Princeton University Press, 2009
9872009
Corporate bond liquidity before and after the onset of the subprime crisis
J Dick-Nielsen, P Feldhütter, D Lando
Journal of Financial Economics 103 (3), 471-492, 2012
6662012
Analyzing rating transitions and rating drift with continuous observations
D Lando, TM Skødeberg
journal of banking & finance 26 (2-3), 423-444, 2002
5552002
Default risk and diversification: Theory and empirical implications
RA Jarrow, D Lando, F Yu
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2005
3752005
Decomposing swap spreads
P Feldhütter, D Lando
Journal of Financial Economics 88 (2), 375-405, 2008
2892008
Three essays on contingent claims pricing.
D Lando
2081995
Correlation in corporate defaults: Contagion or conditional independence?
D Lando, MS Nielsen
Journal of Financial Intermediation 19 (3), 355-372, 2010
1752010
Confidence sets for continuous-time rating transition probabilities
JHE Christensen, E Hansen, D Lando
Journal of Banking & Finance 28 (11), 2575-2602, 2004
1662004
Modelling bonds and derivatives with default risk
D Lando
Mathematics of derivative securities, 369-393, 1997
1651997
Swap pricing with two-sided default risk in a rating-based model
B Huge, D Lando
Review of Finance 3 (3), 239-268, 1999
1051999
Financial sector linkages and the dynamics of bank and sovereign credit spreads
R Kallestrup, D Lando, A Murgoci
Journal of Empirical Finance 38, 374-393, 2016
882016
Some elements of rating-based credit risk modeling
D Lando
Advanced Fixed-Income Valuation Tools, 193-215, 2000
702000
Dynamic capital structure with callable debt and debt renegotiations
PO Christensen, D Lando, CR Flor, KR Miltersen
EFA, 2000
552000
On Cox processes and credit risky bonds
D Lando
Available at SSRN 6143, 1994
521994
Non-parametric analysis of rating transition and default data
P Fledelius, D Lando, JP Nielsen
Journal of Investment Management 2 (2), 2004
452004
Generalized recovery
CS Jensen, D Lando, LH Pedersen
Journal of Financial Economics 133 (1), 154-174, 2019
432019
Robustness of distance-to-default
C Jessen, D Lando
Journal of Banking & Finance 50, 493-505, 2015
412015
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Articles 1–20