David Lando - Selected publications#


  1. Credit Risk Modeling – Theory and Applications, 2004, Princeton University Press. 320 pages
  2. (with Peter Feldhütter and Jens Dick-Nielsen) Corporate bond liquidity before and after the onset of the subprime crisis, Journal of Financial Economics, 2012
  3. (with Mads Stenbo Nielsen) Correlation in corporate defaults: Contagion or conditional independence? Journal of Financial Intermediation, 2010
  4. (with Allan Mortensen) Revisiting the slope of the credit spread curve, Journal of Investment Management, 2005
  5. (with Peter Feldhütter) Decomposing Swap Spreads, Journal of Financial Economics, 2008
  6. (with Robert Jarrow and Fan Yu) Default risk and Diversification: Theory and empirical implications, Mathematical Finance, 2005
  7. (with Jens Christensen and Ernst Hansen) Confidence sets for continuous-time rating transition probabilities, Journal of Banking and Finance, 2004,
  8. (with Peter Fledelius and Jens Perch Nielsen) Non-parametric analysis of rating transition and default data, Journal of Investment Management, 2004
  9. (with Torben Skødeberg) Analyzing rating transitions and rating drift with continuous observations, Journal of Banking and Finance, 2002
  10. (with Darrell Duffie) Term structures of credit spreads with incomplete accounting information, Econometrica, 2001
  11. (with Robert Jarrow and Stuart Turnbull) A Markov model for the term structure of credit risk spreads, Review of Financial Studies, 1997, vol. 10, pp. 481-523
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