David Lando : Citation Profile

Are you David Lando?

Copenhagen Business School

12

H index

13

i10 index

1906

Citations

RESEARCH PRODUCTION:

18

Articles

4

Papers

3

Chapters

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 76
   Journals where David Lando has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 8 (0.42 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pla6
   Updated: 2024-04-18    RAS profile: 2023-05-09    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with David Lando.

Is cited by:

Xiao, Tim (35)

Schuermann, Til (26)

Dionne, Georges (24)

Jarrow, Robert (20)

Duffie, Darrell (18)

Monfort, Alain (15)

Batten, Jonathan (14)

Renne, Jean-Paul (14)

Lucas, Andre (13)

Koopman, Siem Jan (11)

Chernov, Mikhail (11)

Cites to:

Duffie, Darrell (15)

merton, robert (9)

Jarrow, Robert (9)

Singleton, Kenneth (9)

Longstaff, Francis (8)

Pedersen, Lasse (7)

Acharya, Viral (7)

Leland, Hayne (7)

pan, jun (6)

Reinhart, Carmen (5)

Perraudin, William (4)

Main data

Where David Lando has published?

Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of Financial Economics3
The Review of Financial Studies2
Mathematical Finance2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing David Lando (2024 and 2023)

YearTitle of citing document
2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2023Before and after default: information and optimal portfolio via anticipating calculus. (2022). D'Auria, Bernardo ; di Nunno, Giulia ; Jos'e A. Salmer'on, . In: Papers. RePEc:arx:papers:2208.07163.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2023A pure jump model for the valuation of options on a credit index. (2023). Shirai, Yoshihiro. In: Papers. RePEc:arx:papers:2301.05332.

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2023Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors. (2023). Brauner, Claude-Michel ; Liang, Jin ; Dong, Yuchao. In: Papers. RePEc:arx:papers:2301.10898.

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2023The financial health of a company and the risk of its default: Back to the future. (2023). Fabrizi, Eugenio ; Dainelli, Francesco ; Bet, Gianmarco. In: Papers. RePEc:arx:papers:2302.10140.

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2023Particle MCMC in forecasting frailty correlated default models with expert opinion. (2023). Nguyen, HA. In: Papers. RePEc:arx:papers:2304.11586.

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2023Default Process Modeling and Credit Valuation Adjustment. (2023). Xiao, David. In: Papers. RePEc:arx:papers:2309.03311.

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2023Dollar and government bond liquidity: evidence from Korea. (2023). Lee, Jieun. In: BIS Working Papers. RePEc:bis:biswps:1145.

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2023Credit information sharing and cost of debt: Evidence from the introduction of credit bureaus in developing countries. (2023). Agyeiboapeah, Henry ; Fosu, Samuel ; Ciftci, Neytullah. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:783-810.

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2023Pricing contingent convertibles with idiosyncratic risk. (2023). Yang, Zhaojun ; Zeng, Pingping ; Wang, Xiaolin. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:3:p:660-693.

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2023Trading and liquidity in the catastrophe bond market. (2023). Hibbeln, Martin ; Herrmann, Markus. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:283-328.

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2023.

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2023Fiscal risks and their impact on banks capital buffers in South Africa. (2023). Pillay, Neryvia ; Makrelov, Konstantin ; Morule, Bojosi. In: South African Journal of Economics. RePEc:bla:sajeco:v:91:y:2023:i:1:p:116-134.

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2023Callable or convertible debt? The role of debt overhang and covenants. (2023). Schandlbauer, Alexander ; Petersen, Kirstine Boye ; Flor, Christian Riis. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001894.

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2023Short selling, divergence of opinion and volatility in the corporate bond market. (2023). Tian, Xiao ; Kalev, Petko S ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188922002950.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2023An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121.

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2023Quantitative easing and credit rating agencies. (2023). Miquel-Flores, Ixart ; Falagiarda, Matteo ; Abidi, Nordine. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000054.

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2023Foreign-law premium for European high-yield corporate bonds. (2023). Karouzakis, Nikolaos ; Zeng, Yiming ; Jelic, Ranko. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007607.

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2023Bond liquidity, debt maturity and bond risk premium. (2023). Wei, XU ; Zhou, Yimin. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000909.

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2023Credit rating downgrades and stock price crash risk: International evidence. (2023). Zhong, Rui ; Treepongkaruna, Sirimon ; Lan, Yihui ; Ha, Thu. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003616.

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2023A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099.

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2023ETF ownership and firm-specific information in corporate bond returns. (2023). Mason, Joseph R ; Rhodes, Meredith E. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000623.

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2023Spillover effects between liquidity risks through endogenous debt maturity. (2023). Zhou, Yi ; Xiao, Xiao ; Wei, XU. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000125.

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2023The behavior and determinants of illiquidity in the non-fungible tokens (NFTs) market. (2023). Yildiz, Serhat ; Wilkoff, Sean. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000849.

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2023The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages. (2023). Andreeva, Galina ; Crook, Jonathan ; Bocchio, Cecilia. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1655-1677.

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2023The effect of bond market transparency on bank loan contracting. (2023). Kyung, Hoyoun ; Chy, Mahfuz. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:2:s0165410122000593.

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2023Information acquisition costs and credit spreads. (2023). Rettl, Daniel A ; Jaskowski, Marcin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300016x.

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2023Downside variance premium, firm fundamentals, and expected corporate bond returns. (2023). Li, Junye ; Jiang, Liang ; Huang, Tao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001516.

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2023Fund Flows and Asset Valuations of Bond Mutual Funds: Effect of Side-by-Side Management. (2023). Muslu, Volkan ; Koo, Minjae. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001607.

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2023Does market design contribute to market stability? Indications from a corporate bond exchange during the COVID-19 crisis. (2023). Shust, Efrat ; Abudy, Menachem. In: Journal of Economics and Business. RePEc:eee:jebusi:v:123:y:2023:i:c:s0148619522000613.

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2023Debt dynamics and credit risk. (2023). Schaefer, Stephen ; Feldhutter, Peter. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:497-535.

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2023Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191.

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2023Are short selling threats beneficial to creditors? Insights from corporate default risk. (2023). Xu, Hongmei ; Ni, Xiaoran. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001889.

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2023Hedging demand and near-zero swap spreads: Evidence from the Chinese interest rate swap market. (2023). Shang, Yuhuang ; Zhu, Chunhui ; Li, Shaoyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:170-185.

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2023An analytical GARCH valuation model for spread options with default risk. (2023). Yin, Xunbai ; Xu, Guangli ; Tang, Dan ; Song, Shiyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:1-20.

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2023Management efficiency uncertainty and its implications for bondholders. (2023). Huang, Mei-Ling ; Hung, Yu-Shun ; Tseng, Yijie ; Chen, Tsung-Kang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:73-92.

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2023Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363.

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2023Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x.

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2023Blockchain agency theory. (2023). Koliousis, Ioannis ; Walton, Nigel ; Onjewu, Adah-Kole Emmanuel. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:191:y:2023:i:c:s0040162523001671.

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2023A Rank Estimator Approach to Modeling Default Frequencies. (2023). Harju, Antti J. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:444-:d:1260309.

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2023Particle MCMC in Forecasting Frailty-Correlated Default Models with Expert Opinion. (2023). Nguyen, HA. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:334-:d:1193913.

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2023Proposing Credit- and Sensitivity-Risk-Based Methodology to Address Corporate Bond Illiquidity Problem. (2023). Mehra, Rishi ; Arora, Ruchi. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:9:p:388-:d:1229117.

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2023Cyber Risk Contagion. (2023). Giudici, Paolo ; Agosto, Arianna. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:9:p:165-:d:1242949.

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2023The “Greenium” in Green Bonds: How Did It Change with COVID-19?. (2023). Starace, Giuseppe ; de Leonardis, Matteo ; Ferri, Giovanni ; Serlenga, Laura ; Intonti, Mariantonietta. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:5631-:d:1105305.

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2023Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521.

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2023Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads. (2023). Goldstein, Robert ; Garlappi, Lorenzo ; Benzoni, Luca. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:4331-4352.

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2023The no-arbitrage pricing of non-traded assets. (2023). Jarrow, Robert. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00434-1.

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2023Fundamentals, real-time uncertainty and CDS index spreads. (2023). Wang, XU ; Audzeyeva, Alena. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01127-6.

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2023Does CDS market price intangible asset value? Evidence from SG&A expenditure. (2023). Xie, Yuan ; Lin, Xintian ; Huang, Rong. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01165-0.

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2023A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration. (2023). Stokes, Jeffrey R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01170-3.

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2023Debt Renegotiations Outside Distress*. (2023). Westermann, Ramona ; Arnold, Marc. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:4:p:1183-1228..

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2023Determinants of bid-ask spread in emerging sovereign bond markets. (2023). Tokmakiolu, Kaya ; Su, Emre. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:5:d:10.1057_s41260-023-00305-4.

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2023Default Forecasting and Credit Valuation Adjustment. (2023). Lee, David. In: MPRA Paper. RePEc:pra:mprapa:118578.

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2023Financial maintenance covenants in bank loans. (2023). Popov, Latchezar ; Elkamhi, Redouane ; Pungaliya, Raunaq S. In: Economic Theory. RePEc:spr:joecth:v:76:y:2023:i:4:d:10.1007_s00199-023-01490-4.

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2023Trust, social capital, and the bond market benefits of ESG performance. (2023). Servaes, Henri ; Tamayo, Ane ; Lins, Karl V ; Amiraslani, Hami. In: Review of Accounting Studies. RePEc:spr:reaccs:v:28:y:2023:i:2:d:10.1007_s11142-021-09646-0.

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2023Development of a Transition Matrix Model of Credit Rating of Companies based on Forecasted Macro Factors: the Case of Greece. (2023). Poulios, Costas ; Melas, Evangelos ; Donatou, Anna ; Lefkaditis, Konstantinos ; Leventides, John. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:5:f:13_5_3.

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2023Understand funding liquidity and market liquidity in a regime?switching model. (2023). Zhou, Zhiping ; Shen, Liya ; Chen, Louisa. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:589-605.

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2023Incomplete information model of credit default of micro and small enterprises. (2023). Wang, Suyang ; Chen, Tingqiang. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2956-2974.

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2023A monetary policy–based explanation of swap spreads in China. (2023). Hou, Xin ; Fan, Longzhen ; Sun, Qian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1645-1667.

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2023Industry variance risk premium, cross?industry correlation, and expected returns. (2023). Xu, QI ; Luo, Xingguo ; Zhu, Yabei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:3-32.

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2023Pricing risky corporate bonds: An empirical study. (2023). Karim, Muhammad Mahmudul ; Baaquie, Belal Ehsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:90-121.

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Works by David Lando:

YearTitleTypeCited
2020Credit Default Swaps: A Primer and Some Recent Trends In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article1
2005DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS In: Mathematical Finance.
[Full Text][Citation analysis]		article96
2008DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 96		chapter
2022Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood In: Mathematical Finance.
[Full Text][Citation analysis]		article0
2018Generalized Recovery In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper8
2019Generalized recovery.(2019) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2016Generalized Recovery.(2016) In: 2016 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2018Safe Haven CDS Premiums In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper11
2018Safe Haven CDS Premiums.(2018) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2001Term Structures of Credit Spreads with Incomplete Accounting Information. In: Econometrica.
[Citation analysis]		article386
2014Dynamic capital structure with callable debt and debt renegotiations In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article30
2016Financial sector linkages and the dynamics of bank and sovereign credit spreads In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article56
2002Analyzing rating transitions and rating drift with continuous observations In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article211
2004Confidence sets for continuous-time rating transition probabilities In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article55
2015Robustness of distance-to-default In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article27
2012Corporate bond liquidity before and after the onset of the subprime crisis In: Journal of Financial Economics.
[Full Text][Citation analysis]		article333
2008Decomposing swap spreads In: Journal of Financial Economics.
[Full Text][Citation analysis]		article117
2010Correlation in corporate defaults: Contagion or conditional independence? In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article78
2004On the Pricing of Step-Up Bonds in the European Telecom Sector In: Working Papers.
[Full Text][Citation analysis]		paper6
2017Cyclicality and Firm Size in Private Firm Defaults In: International Journal of Central Banking.
[Full Text][Citation analysis]		article3
2013Additive Intensity Regression Models in Corporate Default Analysis In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article2
1999Swap Pricing with Two-Sided Default Risk in a Rating-Based Model In: Review of Finance.
[Full Text][Citation analysis]		article17
1997A Markov Model for the Term Structure of Credit Risk Spreads. In: The Review of Financial Studies.
[Citation analysis]		article469
2008A Markov Model for the Term Structure of Credit Risk Spreads.(2008) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 469		chapter
2013Some Lessons From CDO Markets on Mathematical Models In: Palgrave Macmillan Books.
[Citation analysis]		chapter0

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