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Details about Jon Danielsson

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Homepage:http://www.riskresearch.org
Postal address:Department of Accounting and Finance London School of Economics
Workplace:Financial Markets Group (FMG), London School of Economics (LSE), (more information at EDIRC)

Access statistics for papers by Jon Danielsson.

Last updated 2017-05-04. Update your information in the RePEc Author Service.

Short-id: pda10


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Working Papers

2016

  1. Learning from History: Volatility and Financial Crises
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (1)
  2. Tail index estimation: quantile driven threshold selection
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
  3. Why risk is so hard to measure
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) Downloads View citations (1)

2015

  1. Can we prove a bank guilty of creating systemic risk?: a minority report
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (2016)
  2. Designating market maker behaviour in Limit Order Book markets
    Papers, arXiv.org Downloads

2014

  1. Model Risk of Risk Models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) Downloads View citations (3)

    See also Journal Article in Journal of Financial Stability (2016)
  2. Risk Model-at-Risk
    Post-Print, HAL
    Also in Post-Print, HAL (2014) View citations (1)
    Post-Print, HAL (2014)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2013) Downloads

    See also Journal Article in Journal of Banking & Finance (2014)

2011

  1. Balance Sheet Capacity and Endogenous Risk
    FMG Discussion Papers, Financial Markets Group Downloads View citations (21)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) Downloads View citations (15)

2010

  1. On the impact of fundamentals, liquidity and coordination on market stability
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (1)
    FMG Discussion Papers, Financial Markets Group (2007) Downloads View citations (1)

    See also Journal Article in International Economic Review (2011)
  2. Risk Appetite and Endogenous Risk
    FMG Discussion Papers, Financial Markets Group Downloads View citations (25)

2008

  1. Equilibrium asset pricing with systemic risk
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads
    FMG Discussion Papers, Financial Markets Group (2006) Downloads View citations (3)

    See also Journal Article in Economic Theory (2008)

2006

  1. Consistent Measures of Risk
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads View citations (1)

2005

  1. Comparing Downside Risk Measures for Heavy Tailed Distributions
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) Downloads

    See also Journal Article in Economics Letters (2006)
  2. Subadditivity Re–Examined: the Case for Value-at-Risk
    FMG Discussion Papers, Financial Markets Group Downloads View citations (23)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) Downloads View citations (12)

2004

  1. (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?
    FMG Discussion Papers, Financial Markets Group Downloads
  2. Feedback trading
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
  3. Highwaymen or heroes: should hedge funds be regulated?
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
  4. The impact of risk regulation on price dynamics
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (30)
    See also Journal Article in Journal of Banking & Finance (2004)

2003

  1. Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
    FMG Discussion Papers, Financial Markets Group Downloads View citations (8)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads View citations (4)
  2. On time-scaling of risk and the square–root–of–time rule
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads

    See also Journal Article in Journal of Banking & Finance (2006)

2001

  1. An Academic Response to Basel II
    FMG Special Papers, Financial Markets Group Downloads View citations (106)
  2. Asset Price Dynamics with Value-at-Risk Constrained Traders
    FMG Discussion Papers, Financial Markets Group Downloads View citations (9)
  3. Incentives for Effective Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2002)
  4. Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  5. What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
    FMG Discussion Papers, Financial Markets Group Downloads View citations (18)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads View citations (4)

2000

  1. The Emperor has no Clothes: Limits to Risk Modelling
    FMG Special Papers, Financial Markets Group Downloads View citations (6)
    See also Journal Article in Journal of Banking & Finance (2002)
  2. Using a bootstrap method to choose the sample fraction in tail index estimation
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) Downloads View citations (3)

    See also Journal Article in Journal of Multivariate Analysis (2001)

1999

  1. Real Trading Patterns and Prices in Spot Foreign Exchange Markets
    FMG Discussion Papers, Financial Markets Group Downloads View citations (9)
    See also Journal Article in Journal of International Money and Finance (2002)

1998

  1. Abnormal Returns, Risk, and Options in Large Data Sets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Beyond the Sample: Extreme Quantile and Probability Estimation
    FMG Discussion Papers, Financial Markets Group Downloads View citations (27)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1998) Downloads View citations (1)
  3. The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor
    FMG Special Papers, Financial Markets Group Downloads View citations (10)
  4. Value-at-Risk and Extreme Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Annals of Economics and Statistics (2000)

1997

  1. Extreme Returns, Tail Estimation, and Value-at-Risk
    FMG Discussion Papers, Financial Markets Group Downloads View citations (5)

Journal Articles

2016

  1. Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report
    Journal of Money, Credit and Banking, 2016, 48, (4), 795-812 Downloads View citations (2)
    See also Working Paper (2015)
  2. Model risk of risk models
    Journal of Financial Stability, 2016, 23, (C), 79-91 Downloads View citations (4)
    See also Working Paper (2014)

2014

  1. Risk models-at-risk
    Journal of Banking & Finance, 2014, 44, (C), 72-92 Downloads View citations (8)
    See also Working Paper (2014)

2013

  1. Fat tails, VaR and subadditivity
    Journal of Econometrics, 2013, 172, (2), 283-291 Downloads View citations (18)
  2. Robust forecasting of dynamic conditional correlation GARCH models
    International Journal of Forecasting, 2013, 29, (2), 244-257 Downloads View citations (21)

2012

  1. Endogenous Extreme Events and the Dual Role of Prices
    Annual Review of Economics, 2012, 4, (1), 111-129 Downloads View citations (1)
  2. Exchange rate determination and inter-market order flow effects
    The European Journal of Finance, 2012, 18, (9), 823-840 Downloads View citations (4)
  3. Liquidity determination in an order-driven market
    The European Journal of Finance, 2012, 18, (9), 799-821 Downloads View citations (8)

2011

  1. Lessons from a collapse of a financial system
    Economic Policy, 2011, 26, (66), 183-231 View citations (17)
  2. ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY
    International Economic Review, 2011, 52, (3), 621-638 Downloads View citations (1)
    See also Working Paper (2010)

2009

  1. On the efficacy of financial regulations
    Financial Stability Review, 2009, (13), 53-63 Downloads

2008

  1. Blame the models
    Journal of Financial Stability, 2008, 4, (4), 321-328 Downloads View citations (7)
  2. Equilibrium asset pricing with systemic risk
    Economic Theory, 2008, 35, (2), 293-319 Downloads View citations (11)
    See also Working Paper (2008)
  3. Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
    Annals of Finance, 2008, 4, (3), 345-367 Downloads View citations (7)

2007

  1. Regulating hedge funds
    Financial Stability Review, 2007, (10), 29-36 Downloads

2006

  1. Comparing downside risk measures for heavy tailed distributions
    Economics Letters, 2006, 92, (2), 202-208 Downloads View citations (16)
    See also Working Paper (2005)
  2. Feedback trading This paper is also available at www.riskresearch.org
    International Journal of Finance & Economics, 2006, 11, (1), 35-53 Downloads
  3. On time-scaling of risk and the square-root-of-time rule
    Journal of Banking & Finance, 2006, 30, (10), 2701-2713 Downloads View citations (28)
    See also Working Paper (2003)

2005

  1. Highwaymen or heroes: Should hedge funds be regulated?: A survey
    Journal of Financial Stability, 2005, 1, (4), 522-543 Downloads View citations (5)

2004

  1. The impact of risk regulation on price dynamics
    Journal of Banking & Finance, 2004, 28, (5), 1069-1087 Downloads View citations (72)
    See also Working Paper (2004)

2003

  1. On the Feasibility of Risk Based Regulation
    CESifo Economic Studies, 2003, 49, (2), 157-179 Downloads View citations (7)

2002

  1. Incentives for effective risk management
    Journal of Banking & Finance, 2002, 26, (7), 1407-1425 Downloads View citations (8)
    See also Working Paper (2001)
  2. Real trading patterns and prices in spot foreign exchange markets
    Journal of International Money and Finance, 2002, 21, (2), 203-222 Downloads View citations (76)
    See also Working Paper (1999)
  3. The emperor has no clothes: Limits to risk modelling
    Journal of Banking & Finance, 2002, 26, (7), 1273-1296 Downloads View citations (30)
    See also Working Paper (2000)

2001

  1. Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
    Journal of Multivariate Analysis, 2001, 76, (2), 226-248 Downloads View citations (39)
    See also Working Paper (2000)

2000

  1. Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market
    Monetary and Economic Studies, 2000, 18, (2), 25-48 Downloads View citations (13)
  2. Value-at-Risk and Extreme Returns
    Annals of Economics and Statistics, 2000, (60), 239-270 Downloads View citations (16)
    See also Working Paper (1998)

1998

  1. Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
    Journal of Empirical Finance, 1998, 5, (2), 155-173 Downloads View citations (34)
  2. The value of value at risk: statistical, financial, and regulatory considerations (summary)
    Economic Policy Review, 1998, (Oct), 107-108 Downloads

1996

  1. Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (1), 1-8 Downloads

1994

  1. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 393-95 View citations (1)
  2. Stochastic volatility in asset prices estimation with simulated maximum likelihood
    Journal of Econometrics, 1994, 64, (1-2), 375-400 Downloads View citations (115)

1993

  1. Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models
    Journal of Applied Econometrics, 1993, 8, (S), S153-73 Downloads View citations (61)

Chapters

2012

  1. Endogenous and Systemic Risk
    A chapter in Quantifying Systemic Risk, 2012, pp 73-94 Downloads View citations (3)
 
Page updated 2017-11-19