dlfi

Department of Finance

  • Center for Big Data in Finance (BIGFI)
David
Lando
Professor
,
PhD, Director of Center for Financial Frictions (FRIC)


Room: SOL/A4.04
Tel:
+4538153613
E-mail: dl.fi@cbs.dk
Presentation

I am a Professor of Finance at Copenhagen Business School and Director of the Center for Financial Frictions (FRIC) funded by the Danish National Research Foundation. I hold a Master's degree from the joint mathematics-economics program at the University of Copenhagen and a PhD in statistics from Cornell University.
My main area of research in finance is credit risk modelling and risk management and some of my work has appeared in Econometrica, Journal of Financial Economics and Review of Financial Studies. I am the author of a monograph on credit risk modeling published by Princeton University Press.
I have been a visiting scholar at among other places Princeton University, the Federal Reserve Board in Washington, The Federal Reserve Bank of New York.
Before joining Copenhagen Business School, I was a Professor at the Department of Applied Mathematics and Statistics at the University of Copenhagen.

Primary research areas
  • Credit Risk Modeling
  • Financial Risk Management
  • Derivatives Markets
  • The Firm's Capital Structure
Links
Link to this homepage
www.cbs.dk/en/staff/dlfi
Courses

Credit Risk: Models and Applications

Supervision

PhD and Master's theses

Selected publications
  • Dick-Nielsen, J., Feldhütter, P. & Lando, D. (2012). Corporate bond liquidity before and after the onset of the subprime crisis. Journal of Financial Economics 103, 471–492
  • Feldhütter P. & Lando, D. (2008). Decomposing Swap Spreads, Journal of Financial Economics 88, 375-405. Winner of Award for Best Paper on Quantitative Investments at Western Finance Association’s 2006 meeting
  • Lando, D. (2004). Credit Risk Modeling - Theory and Applications. Princeton: Princeton University Press
  • Duffie, D. & Lando, D. (2001). Term Structures of Credit Spreads with Incomplete Accounting Information. Econometrica 69(3), 633-664
  • Lando, D. (1998). On Cox Processes and Credit Risky Securities. Review of Derivatives Research 2, 99-120.
  • Jarrow R., Lando, D. & Turnbull, S. (1997). A Markov Model for the Term Structure of Credit Risk Spreads. Review of Financial Studies 10, 481-523.
Publications sorted by:
2022
Benjamin Christoffersen; David Lando; Søren Feodor Nielsen / Estimating Volatility in the Merton Model : The KMV Estimate is not Maximum Likelihood.
In: Mathematical Finance, Vol. 32, No. 4, 10.2022, p. 1214-1230
Journal article > peer review
David Lando / Nobelprisen i økonomi 2022
In: Finans/Invest, No. 6, 12.2022, p. 27-31
Journal article > peer review
2020
David Lando / Credit Default Swaps : A Primer and Some Recent Trends.
In: Annual Review of Financial Economics, Vol. 12, No. 1, 2020, p. 177-192
Journal article > peer review
Mikkel Vittrup Hauerberg; David Lando; Aleksander Koldborg Tetzlaff / Forgiven but not Forgotten : Emerging Market Credit Spreads Following Debt Relief.
Paper presented at The 47th European Finance Association Annual Meeting. EFA 2020, 2020
Paper > peer review
2019
Jesper Berg; David Lando / Finanstilsynets organisering
In: Finans/Invest, No. 2, 2019, p. 15-18,31
Journal article > peer review
Christian Skov Jensen; David Lando; Lasse Heje Pedersen / Generalized Recovery
In: Journal of Financial Economics, Vol. 133, No. 1, 7.2019, p. 154-174
Journal article > peer review
2018
David Lando; Lasse Heje Pedersen; Christian Skov Jensen / Generalized Recovery
London : Centre for Economic Policy Research 2018, 66 p. (Centre for Economic Policy Research. Discussion Papers, No. DP12665)
Working paper
David Lando; Andreas Bang Nielsen / Quanto CDS Spreads
: SSRN: Social Science Research Network 2018, 91 p.
Working paper
Sven Klingler; David Lando / Safe Haven CDS Premiums
London : Centre for Economic Policy Research 2018, p. 85 (Centre for Economic Policy Research. Discussion Papers, No. DP12694)
Working paper
Sven Klingler; David Lando / Safe Haven CDS Premiums
In: Review of Financial Studies, Vol. 31, No. 5, 5.2018, p. 1855-1895
Journal article > peer review
More results... (total 45 results)
Research Projects
Outside activities
  • Member of investment advisory board for Forenet Nykredit, August 2023 - present
  • Ad hoc (small) consulting task for Nykredit, May 2022 - June 2022
  • Chairman of committee evaluating Norges Bank Research Dept., April 2022 - June 2022
  • Reviewing tests for “rød certificering” for Finanssektorens Uddannelsescenter, December 2021 - present
  • Senior fellow, Reviewing and providing feedback on research reports for Kraka, November 2020 - present
  • Chairman of the board of The Danish Financial Supervisory Authority (Finanstilsynet), June 2018 - June 2020
  • Vice chairman of the board of The Danish Financial Supervisory Authority (Finanstilsynet), January 2018 - June 2018 (first appointment in 2014)
  • Lecture on securitization at Capital Four Management, June 2019
  • Advice on an option pricing problem for Shell, spring 2018