Details about Jon Danielsson
Access statistics for papers by Jon Danielsson.
Last updated 2021-06-05. Update your information in the RePEc Author Service.
Short-id: pda10
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Working Papers
2022
- How global risk perceptions affect economic growth
FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
- The impact of risk cycles on business cycles: a historical view
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
2019
- Tail Index Estimation: Quantile-Driven Threshold Selection
Staff Working Papers, Bank of Canada View citations (9)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (12)
2018
- Challenges in Implementing Worst-Case Analysis
Staff Working Papers, Bank of Canada View citations (1)
- Designating market maker behaviour in limit order book markets
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
Also in Papers, arXiv.org (2015) View citations (1)
See also Journal Article in Econometrics and Statistics (2018)
- Learning from history: volatility and financial crises
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (49)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2016) View citations (10) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (18)
See also Journal Article in Review of Financial Studies (2018)
- Low Risk as a Predictor of Financial Crises
FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
- Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks
IMF Working Papers, International Monetary Fund View citations (13)
2017
- Brexit and systemic risk
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
2016
- 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 View citations (17)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) View citations (3)
See also Journal Article in Journal of Money, Credit and Banking (2016)
- Model risk of risk models
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (41)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (11) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) View citations (16)
See also Journal Article in Journal of Financial Stability (2016)
- The fatal flaw in macropru: it ignores political risk
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
- Why macropru can end up being procyclical
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
2015
- Why risk is so hard to measure
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (6)
2014
- Risk Model-at-Risk
Post-Print, HAL
Also in Post-Print, HAL (2014) View citations (19) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014)  Post-Print, HAL (2014) View citations (8)
See also Journal Article in Journal of Banking & Finance (2014)
2013
- Political challenges of the macroprudential agenda
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
2012
- Regime switches in the volatility and correlation of financial institutions
Working Paper Research, National Bank of Belgium View citations (5)
2011
- Balance Sheet Capacity and Endogenous Risk
FMG Discussion Papers, Financial Markets Group View citations (37)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) View citations (47)
2010
- On the impact of fundamentals, liquidity and coordination on market stability
Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 
Also in FMG Discussion Papers, Financial Markets Group (2007) View citations (1) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (1)
See also Journal Article in International Economic Review (2011)
- Risk Appetite and Endogenous Risk
FMG Discussion Papers, Financial Markets Group View citations (28)
2008
- Equilibrium asset pricing with systemic risk
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (20)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006)  FMG Discussion Papers, Financial Markets Group (2006) View citations (3)
See also Journal Article in Economic Theory (2008)
2006
- Consistent Measures of Risk
FMG Discussion Papers, Financial Markets Group View citations (3)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) View citations (2)
2005
- Comparing Downside Risk Measures for Heavy Tailed Distributions
FMG Discussion Papers, Financial Markets Group 
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) 
See also Journal Article in Economics Letters (2006)
- Subadditivity Re–Examined: the Case for Value-at-Risk
FMG Discussion Papers, Financial Markets Group View citations (34)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) View citations (19)
2004
- (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?
FMG Discussion Papers, Financial Markets Group
- Feedback trading
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
- The impact of risk regulation on price dynamics
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (77)
See also Journal Article in Journal of Banking & Finance (2004)
2003
- Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
FMG Discussion Papers, Financial Markets Group View citations (10)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (9)
- On time-scaling of risk and the square–root–of–time rule
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 
Also in FMG Discussion Papers, Financial Markets Group (2003) 
See also Journal Article in Journal of Banking & Finance (2006)
2001
- An Academic Response to Basel II
FMG Special Papers, Financial Markets Group
- Asset Price Dynamics with Value-at-Risk Constrained Traders
FMG Discussion Papers, Financial Markets Group View citations (9)
- Incentives for Effective Risk Management
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
See also Journal Article in Journal of Banking & Finance (2002)
- Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
FMG Discussion Papers, Financial Markets Group View citations (19)
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) View citations (7)
2000
- The Emperor has no Clothes: Limits to Risk Modelling
FMG Special Papers, Financial Markets Group 
See also Journal Article in Journal of Banking & Finance (2002)
- 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 View citations (4)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) View citations (3)
See also Journal Article in Journal of Multivariate Analysis (2001)
1999
- Real Trading Patterns and Prices in Spot Foreign Exchange Markets
FMG Discussion Papers, Financial Markets Group View citations (9)
See also Journal Article in Journal of International Money and Finance (2002)
1998
- Abnormal Returns, Risk, and Options in Large Data Sets
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Beyond the Sample: Extreme Quantile and Probability Estimation
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
Also in FMG Discussion Papers, Financial Markets Group (1998) View citations (26)
- The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor
FMG Special Papers, Financial Markets Group
- Value-at-Risk and Extreme Returns
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (17)
See also Journal Article in Annals of Economics and Statistics (2000)
1997
- Extreme Returns, Tail Estimation, and Value-at-Risk
FMG Discussion Papers, Financial Markets Group View citations (5)
1996
- Tail Index and Quantile Estimation with Very High Frequency Data
CESifo Working Paper Series, CESifo View citations (16)
Journal Articles
2018
- Designating market maker behaviour in limit order book markets
Econometrics and Statistics, 2018, 5, (C), 20-44 View citations (2)
See also Working Paper (2018)
- Learning from History: Volatility and Financial Crises
Review of Financial Studies, 2018, 31, (7), 2774-2805 View citations (50)
See also Working Paper (2018)
2016
- Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report
Journal of Money, Credit and Banking, 2016, 48, (4), 795-812 View citations (15)
See also Working Paper (2016)
- Model risk of risk models
Journal of Financial Stability, 2016, 23, (C), 79-91 View citations (41)
See also Working Paper (2016)
2014
- Risk models-at-risk
Journal of Banking & Finance, 2014, 44, (C), 72-92 View citations (26)
See also Working Paper (2014)
2013
- Fat tails, VaR and subadditivity
Journal of Econometrics, 2013, 172, (2), 283-291 View citations (48)
- Robust forecasting of dynamic conditional correlation GARCH models
International Journal of Forecasting, 2013, 29, (2), 244-257 View citations (43)
2012
- Endogenous Extreme Events and the Dual Role of Prices
Annual Review of Economics, 2012, 4, (1), 111-129 View citations (13)
- Exchange rate determination and inter-market order flow effects
The European Journal of Finance, 2012, 18, (9), 823-840 View citations (12)
- Liquidity determination in an order-driven market
The European Journal of Finance, 2012, 18, (9), 799-821 View citations (12)
2011
- Lessons from a collapse of a financial system
(Looting: The economic underworld of bankruptcy for profit)
Economic Policy, 2011, 26, (66), 183-235 View citations (37)
- ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY
International Economic Review, 2011, 52, (3), 621-638 View citations (1)
See also Working Paper (2010)
2009
- On the efficacy of financial regulations
Financial Stability Review, 2009, (13), 53-63
2008
- Blame the models
Journal of Financial Stability, 2008, 4, (4), 321-328 View citations (18)
- Equilibrium asset pricing with systemic risk
Economic Theory, 2008, 35, (2), 293-319 View citations (22)
See also Working Paper (2008)
- Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
Annals of Finance, 2008, 4, (3), 345-367 View citations (8)
2007
- Regulating hedge funds
Financial Stability Review, 2007, (10), 29-36 View citations (1)
2006
- Comparing downside risk measures for heavy tailed distributions
Economics Letters, 2006, 92, (2), 202-208 View citations (20)
See also Working Paper (2005)
- Feedback trading This paper is also available at www.riskresearch.org
International Journal of Finance & Economics, 2006, 11, (1), 35-53 View citations (1)
- On time-scaling of risk and the square-root-of-time rule
Journal of Banking & Finance, 2006, 30, (10), 2701-2713 View citations (50)
See also Working Paper (2003)
2005
- Highwaymen or heroes: Should hedge funds be regulated?: A survey
Journal of Financial Stability, 2005, 1, (4), 522-543 View citations (7)
2004
- The impact of risk regulation on price dynamics
Journal of Banking & Finance, 2004, 28, (5), 1069-1087 View citations (99)
See also Working Paper (2004)
2003
- On the Feasibility of Risk Based Regulation
CESifo Economic Studies, 2003, 49, (2), 157-179 View citations (9)
2002
- Incentives for effective risk management
Journal of Banking & Finance, 2002, 26, (7), 1407-1425 View citations (14)
See also Working Paper (2001)
- Real trading patterns and prices in spot foreign exchange markets
Journal of International Money and Finance, 2002, 21, (2), 203-222 View citations (89)
See also Working Paper (1999)
- The emperor has no clothes: Limits to risk modelling
Journal of Banking & Finance, 2002, 26, (7), 1273-1296 View citations (54)
See also Working Paper (2000)
2001
- Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
Journal of Multivariate Analysis, 2001, 76, (2), 226-248 View citations (58)
See also Working Paper (2000)
2000
- Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market
Monetary and Economic Studies, 2000, 18, (2), 25-48 View citations (23)
- Value-at-Risk and Extreme Returns
Annals of Economics and Statistics, 2000, (60), 239-270 View citations (92)
See also Working Paper (1998)
1998
- Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
Journal of Empirical Finance, 1998, 5, (2), 155-173 View citations (41)
- The value of value at risk: statistical, financial, and regulatory considerations (summary)
Economic Policy Review, 1998, 4, (Oct), 107-108
1996
- Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code
Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (1), 1-8 View citations (1)
1994
- Bayesian Analysis of Stochastic Volatility Models: Comment
Journal of Business & Economic Statistics, 1994, 12, (4), 393-95 View citations (4)
- Stochastic volatility in asset prices estimation with simulated maximum likelihood
Journal of Econometrics, 1994, 64, (1-2), 375-400 View citations (169)
1993
- Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models
Journal of Applied Econometrics, 1993, 8, (S), S153-73 View citations (82)
Books
2017
- Brexit and the implications for financial services
SUERF Studies, SUERF - The European Money and Finance Forum View citations (3)
Chapters
2012
- Endogenous and Systemic Risk
A chapter in Quantifying Systemic Risk, 2012, pp 73-94 View citations (21)
2007
- Currency Crises, (Hidden) Linkages and Volume
Chapter 10 in International Financial Instability Global Banking and National Regulation, 2007, pp 125-137
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