David Lando : Citation Profile

Are you David Lando?

Copenhagen Business School

13

H index

13

i10 index

1966

Citations

RESEARCH PRODUCTION:

18

Articles

4

Papers

3

Chapters

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 78
   Journals where David Lando has often published
   Relations with other researchers
   Recent citing documents: 116.    Total self citations: 8 (0.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla6
   Updated: 2024-12-03    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)

Lucas, Andre (15)

Monfort, Alain (15)

Renne, Jean-Paul (14)

Batten, Jonathan (14)

Chernov, Mikhail (11)

Koopman, Siem Jan (11)

Cites to:

Duffie, Darrell (15)

Singleton, Kenneth (9)

Jarrow, Robert (9)

merton, robert (9)

Longstaff, Francis (8)

Leland, Hayne (7)

Pedersen, Lasse (7)

Acharya, Viral (7)

pan, jun (6)

Reinhart, Carmen (5)

Schuermann, Til (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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2024A Markov approach to credit rating migration conditional on economic states. (2024). Packham, Natalie ; Kalkbrener, Michael. In: Papers. RePEc:arx:papers:2403.14868.

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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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2024CFO facial beauty and bank loan contracting. (2024). Lobo, Gerald ; Li, Jiyuan ; Hrazdil, Karel ; Zhang, Ray. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:975-1009.

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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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2024Building resilience to crisis through slack resources: A longitudinal analysis of US hotels. (2024). Seo, Kwanglim ; Mun, Sung Gyun ; Woo, Linda. In: Annals of Tourism Research. RePEc:eee:anture:v:106:y:2024:i:c:s0160738324000392.

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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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2023Dynamic clustering of multivariate panel data. (2023). Lucas, Andre ; Joo, Igor Custodio ; Schwaab, Bernd ; Schaumburg, Julia. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000689.

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2024High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times. (2024). Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000472.

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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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2023Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants. (2023). Jalkh, Naji ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004313.

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2024Options illiquidity in an over-the-counter market. (2024). Ahn, Jungkyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002357.

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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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2024Does minority shareholder activism impede corporate default risk? Evidence from China. (2024). Wang, Zhibin ; Huang, Xue. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000084.

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2024Effects of incomplete information on risk management. (2024). Kim, Hwa-Sung. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004665.

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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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2024Extreme illiquidity and cross-sectional corporate bond returns. (2024). Wu, DI ; Wang, Junbo ; Chen, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000132.

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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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2024New insights into liquidity resiliency. (2024). Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall ; Wafula, Ronald Wekesa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609.

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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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2023Intermediary balance sheets and the treasury yield curve. (2023). Hebert, Benjamin ; Du, Wenxin ; Li, Wenhao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001629.

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2024Demand-and-supply imbalance risk and long-term swap spreads. (2024). Venter, Gyuri ; Malkhozov, Aytek ; Hanson, Samuel G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x24000370.

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2023Eurozone government bond spreads: A tale of different ECB policy regimes. (2023). Pieterse-Bloem, Mary. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001663.

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2023Uncertain tone, asset volatility and credit default swap spreads. (2023). Ramani, Srikanth ; Patel, Saurin ; Doshi, Hitesh ; Sooy, Matthew. In: Journal of Contemporary Accounting and Economics. RePEc:eee:jocaae:v:19:y:2023:i:3:s1815566923000309.

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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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2024Farm debt and the over-exploitation of natural capital. (2024). Guthrie, Graeme. In: Resource and Energy Economics. RePEc:eee:resene:v:77:y:2024:i:c:s0928765524000150.

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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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2024The impact of retail investor sentiment on the conditional volatility of stocks and bonds: Evidence from the Tel-Aviv stock exchange. (2024). Kedar-Levy, Haim ; Hadad, Elroi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1303-1313.

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2024The effect of economic and political uncertainty on sovereign CDS spreads. (2024). Pan, Wei-Fong ; Wang, Xinjie ; Zhang, Jinfan ; Xu, Weike ; Xiao, Yaqing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:143-155.

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2024Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves. (2024). Su, GE ; Hong, Zhiwu ; Lin, Mucai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:597-615.

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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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2024Assessing the impact of the COVID-19 crisis on sovereign default risk. (2024). Kanno, Masayasu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003240.

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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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2024Estimating Asset Parameters Using Levy’s Moment Matching Method. (2024). Miyake, Masatoshi. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:170-:d:1379979.

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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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2024The Changing Behavior of the European Credit Default Swap Spreads During the Covid-19 Pandemic: A Bayesian Network Analysis. (2024). Önder, A. Özlem ; Kila, Gul Huyuguzel ; Cinicioglu, Esma Nur ; Muradolu, Gulnur Y. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10489-x.

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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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2023Which Factors for Corporate Bond Returns?. (2023). He, Zhiguo ; Prokopczuk, Marcel ; Hollstein, Fabian ; Dang, Thuy Duong. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:4:p:615-652..

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2023Determinants of Short-Term Corporate Yield Spreads: Evidence from the Commercial Paper Market*. (2023). Shi, Zhan ; Liu, Bibo ; Huang, Jing-Zhi. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:2:p:539-579..

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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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2023A Tale of Two Cities: Mainland Chinese Buyers in the Hong Kong Housing Market. (2023). Wan, Wayne ; Wang, Zhenping ; Rong, Maggie ; Fan, YI. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:6:p:2205-2232..

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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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2024Corporate bonds: fixed versus stochastic coupons—an empirical study. (2024). Karim, Muhammad Mahmudul ; Baaquie, Belal Ehsan. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00343-y.

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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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More than 100 citations found, this list is not complete...

Works by David Lando:

YearTitleTypeCited
2020Credit Default Swaps: A Primer and Some Recent Trends In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article2
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]		paper9
2019Generalized recovery.(2019) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2016Generalized Recovery.(2016) In: 2016 Meeting Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
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