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David Lando
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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
23321997
On Cox processes and credit risky securities
D Lando
Review of Derivatives research 2 (2), 99-120, 1998
18811998
Term structures of credit spreads with incomplete accounting information
D Duffie, D Lando
Econometrica 69 (3), 633-664, 2001
16852001
Credit risk modeling
D Lando
Handbook of Financial Time Series, 787-798, 2009
11542009
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
9582012
Analyzing rating transitions and rating drift with continuous observations
D Lando, TM Skødeberg
Journal of banking & finance 26 (2-3), 423-444, 2002
6512002
Default risk and diversification: Theory and empirical implications
RA Jarrow, D Lando, F Yu
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2005
3882005
Decomposing swap spreads
P Feldhütter, D Lando
Journal of Financial Economics 88 (2), 375-405, 2008
3262008
Three essays on contingent claims pricing
D Lando
Cornell University, 1994
2181994
Correlation in corporate defaults: Contagion or conditional independence?
D Lando, MS Nielsen
Journal of Financial Intermediation 19 (3), 355-372, 2010
2022010
Confidence sets for continuous-time rating transition probabilities
JHE Christensen, E Hansen, D Lando
Journal of Banking & Finance 28 (11), 2575-2602, 2004
1942004
Modelling Bonds and Derivatives with
D Lando
Mathematics of derivative securities 15, 369, 1997
1711997
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
1262016
Swap pricing with two-sided default risk in a rating-based model
B Huge, D Lando
Review of Finance 3 (3), 239-268, 1999
1111999
Generalized recovery
CS Jensen, D Lando, LH Pedersen
Journal of Financial Economics 133 (1), 154-174, 2019
832019
Some elements of rating-based credit risk modeling
D Lando
Advanced Fixed-Income Valuation Tools, 193-215, 2000
822000
Robustness of distance-to-default
C Jessen, D Lando
Journal of Banking & Finance 50, 493-505, 2015
702015
On Cox processes and credit risky bonds
D Lando
Available at SSRN 6143, 1994
591994
Dynamic capital structure with callable debt and debt renegotiations
PO Christensen, D Lando, CR Flor, KR Miltersen
Available at SSRN 320161, 2002
582002
Non-parametric analysis of rating transition and default data
P Fledelius, D Lando, JP Nielsen
Journal of Investment Management 2 (2), 71-85, 2004
482004
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