WorldCat Identities

Lando, David 1964-

Overview
Works: 25 works in 62 publications in 3 languages and 518 library holdings
Genres: Academic theses 
Roles: Author, Contributor, Honoree
Classifications: HG3751, 332.7011
Publication Timeline
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Most widely held works about David Lando
 
Most widely held works by David Lando
Credit risk modeling : theory and applications by David Lando( Book )

21 editions published between 2004 and 2008 in English and Hungarian and held by 469 WorldCat member libraries worldwide

"Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk."--Jacket
Safe haven CDS premiums by Sven Klinger( )

2 editions published in 2018 in English and held by 10 WorldCat member libraries worldwide

Credit Default Swaps can be used to lower capital requirements of dealer banks who enter into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital relief makes CDS contracts valuable to dealer banks and empirically that, consistent with the use of CDS for regulatory purposes, there is a disconnect between changes in bond yield spreads and in CDS premiums especially for safe sovereigns. Additional empirical tests related to volumes of contracts outstanding, effects of regulatory proxies, and the corporate bond and CDS markets support that CDS contracts are used for capital relief
Three essays on contingent claims pricing by David Lando( Book )

6 editions published in 1994 in English and Undetermined and held by 8 WorldCat member libraries worldwide

Generalized recovery by David Lando( Book )

2 editions published in 2018 in English and held by 5 WorldCat member libraries worldwide

We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time periods. We make no assumptions of the probability distribution, thus generalizing the time-homogeneous stationary model of Ross (2015). Recovery is feasible when the number of maturities with observable prices is higher than the number of states of the economy (or the number of parameters characterizing the pricing kernel). When recovery is feasible, our model is easy to implement, allowing a closed-form linearized solution. We implement our model empirically, testing the predictive power of the recovered expected return and other recovered statistics
Swap pricing with two-sided default risk in a rating-based model by Brian Huge( Book )

2 editions published in 1999 in English and held by 3 WorldCat member libraries worldwide

On the pricing of step-up bonds in the European telecom sector by David Lando( Book )

4 editions published between 2004 and 2005 in English and held by 3 WorldCat member libraries worldwide

This paper investigates the pricing of step-up bonds, i.e. corporate bonds with provisions stating that the coupon payments increase as the credit rating level of the issuer declines. To assess the risk-neutral rating transition probabilities necessary to price these bonds, we introduce a new calibration method within the reduced-form rating-based model of Jarrow, Lando, and Turnbull (1997). We also treat split ratings and adjust for rating outlook. Step-up bonds have been issued in large amounts in the European telecom sector, and we find that, through most of the sample, step-up bonds issued by the two largest issuers have traded at a discount relative to comparable fixed-coupon bonds from the same issuers. Our findings cannot be attributed to traditional liquidity factors, and they suggest that issuing step-up bonds increased the cost of capital for the issuers. Keywords: defaultable bonds, step-up coupons, rating-based models JEL classification: G12, G13
A Markov model for the term structure of credit risk spreads by Robert A Jarrow( Book )

2 editions published in 1995 in English and held by 3 WorldCat member libraries worldwide

Applications of Stochastic Integration and Martingale Representation in Security Market Modeling by David Lando( Book )

1 edition published in 1990 in English and held by 2 WorldCat member libraries worldwide

On Cox processes and credit risky bonds by David Lando( Book )

2 editions published in 1994 in English and held by 2 WorldCat member libraries worldwide

State-dependent realignments in target zone currency regimes by Peter Ove Christensen( Book )

2 editions published in 1996 in English and held by 2 WorldCat member libraries worldwide

Modelling bonds and derivatives with default risk by David Lando( Book )

2 editions published in 1996 in English and held by 2 WorldCat member libraries worldwide

On jump-diffusion option pricing from the viewpoint of semimartingale characteristics by David Lando( Book )

2 editions published in 1995 in English and held by 2 WorldCat member libraries worldwide

On jump-diffusion option pricing from the viewpoint of semimartingale characterisitcs by David Lando( Book )

1 edition published in 1995 in English and held by 1 WorldCat member library worldwide

Modelling bonds and derivatives with default risk by David Lando( Book )

1 edition published in 1996 in English and held by 1 WorldCat member library worldwide

On rating transition analysis and correlation by David Lando( )

1 edition published in 1998 in English and held by 1 WorldCat member library worldwide

Modelling bonds and derivative with default risk by David Lando( )

1 edition published in 1997 in English and held by 1 WorldCat member library worldwide

A Markov model for the term structure of credit risk spreads by Robert A Jarrow( Book )

2 editions published between 1994 and 1995 in English and held by 1 WorldCat member library worldwide

Term structures of credit spreads with incomplete accounting information D. Duffie and D. Lando by Darrell Duffie( Book )

1 edition published in 1999 in English and held by 1 WorldCat member library worldwide

Term structures of credit spreads with incomplete accounting information by Darrell Duffie( Book )

1 edition published in 1999 in English and held by 1 WorldCat member library worldwide

On cox processes and credit risky bonds by David Lando( Book )

1 edition published in 1994 in English and held by 1 WorldCat member library worldwide

 
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Credit risk modeling : theory and applications
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