My main fields of interest includes
  • Credit Risk Modeling
  • Financial Risk Management
  • Derivatives Markets
  • The Firm's Capital Structure

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.

FRIC Center for Financial Frictions

The FRIC Center for Financial Frictions was established in April 2012 under the auspices of the Danish National Research Foundation. The FRIC Center investigates financial frictions, which are costs or impediments to financial transactions. Financial frictions occur for instance as a result of the varying ease by which financial assets are traded (their liquidity), the transactions costs, borrowing constraints, credit risk, capital requirements for financial institutions, and asymmetric information among market participants. Through a theoretical and empirical approach, the FRIC center analyzes the impact of financial frictions on the prices of financial assets, on economic development and on the design and regulation of financial markets. Read more about FRIC

Last updated by Administrator 14/10/2021