Details about Jon Danielsson

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 2024-04-05. Update your information in the RePEc Author Service.

Short-id: pda10

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Working Papers

2024

1. On the use of artificial intelligence in financial regulations and the impact on financial stability
   Papers, arXiv.org View citations (2)

2022

2. Artificial intelligence and systemic risk
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)
   See also Journal Article Artificial intelligence and systemic risk, Journal of Banking & Finance, Elsevier (2022) View citations (4) (2022)
3. How global risk perceptions affect economic growth
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
4. The impact of risk cycles on business cycles: a historical view
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2022) View citations (1)
   See also Journal Article The Impact of Risk Cycles on Business Cycles: A Historical View, The Review of Financial Studies, Society for Financial Studies (2023) (2023)

2020

5. Financial volatility and economic growth, 1870-2016
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library

2019

6. Tail Index Estimation: Quantile-Driven Threshold Selection
   Staff Working Papers, Bank of Canada View citations (10)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (12)

2018

7. Challenges in Implementing Worst-Case Analysis
   Staff Working Papers, Bank of Canada View citations (1)
8. Cryptocurrencies: policy, economics and fairness
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
9. 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 (2)
   Also in Papers, arXiv.org (2015) View citations (1)
   See also Journal Article Designating market maker behaviour in limit order book markets, Econometrics and Statistics, Elsevier (2018) View citations (3) (2018)
10. Learning from history: volatility and financial crises
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2016) View citations (11)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2018) View citations (64)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (19)
    See also Journal Article Learning from History: Volatility and Financial Crises, The Review of Financial Studies, Society for Financial Studies (2018) View citations (81) (2018)
11. Low Risk as a Predictor of Financial Crises
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
12. Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks
    IMF Working Papers, International Monetary Fund View citations (18)
13. Market resilience
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library

2017

14. Brexit and systemic risk
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (1)

2016

15. 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 (18)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015)
    See also Journal Article Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report, Journal of Money, Credit and Banking, Blackwell Publishing (2016) View citations (16) (2016)
16. Model risk of risk models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (63)
    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 Model risk of risk models, Journal of Financial Stability, Elsevier (2016) View citations (63) (2016)
17. 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)
18. 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

19. Why risk is so hard to measure
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)

2014

20. Risk Model-at-Risk
    Post-Print, HAL
    Also in Post-Print, HAL (2014) View citations (14)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) View citations (6)
    Post-Print, HAL (2014) View citations (25)
    See also Journal Article Risk models-at-risk, Journal of Banking & Finance, Elsevier (2014) View citations (32) (2014)

2013

21. 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

22. Regime switches in the volatility and correlation of financial institutions
    Working Paper Research, National Bank of Belgium View citations (5)

2011

23. 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 (51)

2010

24. On the impact of fundamentals, liquidity and coordination on market stability
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (1)
    FMG Discussion Papers, Financial Markets Group (2007) View citations (1)
    See also Journal Article ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2011) View citations (1) (2011)
25. Risk Appetite and Endogenous Risk
    FMG Discussion Papers, Financial Markets Group View citations (28)

2008

26. 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 Equilibrium asset pricing with systemic risk, Economic Theory, Springer (2008) View citations (24) (2008)

2006

27. 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

28. 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 Comparing downside risk measures for heavy tailed distributions, Economics Letters, Elsevier (2006) View citations (23) (2006)
29. 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 (20)

2004

30. (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?
    FMG Discussion Papers, Financial Markets Group
31. Feedback trading
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
32. 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 (80)
    See also Journal Article The impact of risk regulation on price dynamics, Journal of Banking & Finance, Elsevier (2004) View citations (102) (2004)

2003

33. 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)
34. 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 On time-scaling of risk and the square-root-of-time rule, Journal of Banking & Finance, Elsevier (2006) View citations (56) (2006)

2001

35. An Academic Response to Basel II
    FMG Special Papers, Financial Markets Group
36. Asset Price Dynamics with Value-at-Risk Constrained Traders
    FMG Discussion Papers, Financial Markets Group View citations (9)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001)
37. Incentives for Effective Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article Incentives for effective risk management, Journal of Banking & Finance, Elsevier (2002) View citations (15) (2002)
38. Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
39. 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

40. The Emperor has no Clothes: Limits to Risk Modelling
    FMG Special Papers, Financial Markets Group
    See also Journal Article The emperor has no clothes: Limits to risk modelling, Journal of Banking & Finance, Elsevier (2002) View citations (64) (2002)
41. 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 Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation, Journal of Multivariate Analysis, Elsevier (2001) View citations (64) (2001)

1999

42. Real Trading Patterns and Prices in Spot Foreign Exchange Markets
    FMG Discussion Papers, Financial Markets Group View citations (9)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1999)
    See also Journal Article Real trading patterns and prices in spot foreign exchange markets, Journal of International Money and Finance, Elsevier (2002) View citations (90) (2002)

1998

43. Abnormal Returns, Risk, and Options in Large Data Sets
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
44. Beyond the Sample: Extreme Quantile and Probability Estimation
    FMG Discussion Papers, Financial Markets Group View citations (26)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1998) View citations (9)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1998)
45. The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor
    FMG Special Papers, Financial Markets Group
46. Value-at-Risk and Extreme Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1997)
    See also Journal Article Value-at-Risk and Extreme Returns, Annals of Economics and Statistics, GENES (2000) View citations (95) (2000)

1997

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

1996

48. Tail Index and Quantile Estimation with Very High Frequency Data
    CESifo Working Paper Series, CESifo View citations (16)

Journal Articles

2023

1. The Impact of Risk Cycles on Business Cycles: A Historical View
   The Review of Financial Studies, 2023, 36, (7), 2922-2961
   See also Working Paper The impact of risk cycles on business cycles: a historical view, LSE Research Online Documents on Economics (2022) View citations (1) (2022)

2022

2. Artificial intelligence and systemic risk
   Journal of Banking & Finance, 2022, 140, (C) View citations (4)
   See also Working Paper Artificial intelligence and systemic risk, LSE Research Online Documents on Economics (2022) View citations (7) (2022)

2018

3. Designating market maker behaviour in limit order book markets
   Econometrics and Statistics, 2018, 5, (C), 20-44 View citations (3)
   See also Working Paper Designating market maker behaviour in limit order book markets, LSE Research Online Documents on Economics (2018) View citations (2) (2018)
4. Learning from History: Volatility and Financial Crises
   The Review of Financial Studies, 2018, 31, (7), 2774-2805 View citations (81)
   See also Working Paper Learning from history: volatility and financial crises, LSE Research Online Documents on Economics (2018) View citations (2) (2018)

2016

5. 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 (16)
   See also Working Paper Can we prove a bank guilty of creating systemic risk? A minority report, LSE Research Online Documents on Economics (2016) View citations (18) (2016)
6. Model risk of risk models
   Journal of Financial Stability, 2016, 23, (C), 79-91 View citations (63)
   See also Working Paper Model risk of risk models, LSE Research Online Documents on Economics (2016) View citations (63) (2016)

2014

7. Risk models-at-risk
   Journal of Banking & Finance, 2014, 44, (C), 72-92 View citations (32)
   See also Working Paper Risk Model-at-Risk, Post-Print (2014) (2014)

2013

8. Fat tails, VaR and subadditivity
   Journal of Econometrics, 2013, 172, (2), 283-291 View citations (51)
9. Robust forecasting of dynamic conditional correlation GARCH models
   International Journal of Forecasting, 2013, 29, (2), 244-257 View citations (45)

2012

10. Endogenous Extreme Events and the Dual Role of Prices
    Annual Review of Economics, 2012, 4, (1), 111-129 View citations (15)
11. Exchange rate determination and inter-market order flow effects
    The European Journal of Finance, 2012, 18, (9), 823-840 View citations (13)
12. Liquidity determination in an order-driven market
    The European Journal of Finance, 2012, 18, (9), 799-821 View citations (12)

2011

13. 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 (38)
14. 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 On the impact of fundamentals, liquidity and coordination on market stability, Economics Working Papers (2010) (2010)

2009

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

2008

16. Blame the models
    Journal of Financial Stability, 2008, 4, (4), 321-328 View citations (21)
17. Equilibrium asset pricing with systemic risk
    Economic Theory, 2008, 35, (2), 293-319 View citations (24)
    See also Working Paper Equilibrium asset pricing with systemic risk, LSE Research Online Documents on Economics (2008) View citations (20) (2008)
18. Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
    Annals of Finance, 2008, 4, (3), 345-367 View citations (9)

2007

19. Regulating hedge funds
    Financial Stability Review, 2007, (10), 29-36 View citations (2)

2006

20. Comparing downside risk measures for heavy tailed distributions
    Economics Letters, 2006, 92, (2), 202-208 View citations (23)
    See also Working Paper Comparing Downside Risk Measures for Heavy Tailed Distributions, FMG Discussion Papers (2005) (2005)
21. Feedback trading This paper is also available at www.riskresearch.org
    International Journal of Finance & Economics, 2006, 11, (1), 35-53 View citations (1)
22. On time-scaling of risk and the square-root-of-time rule
    Journal of Banking & Finance, 2006, 30, (10), 2701-2713 View citations (56)
    See also Working Paper On time-scaling of risk and the square–root–of–time rule, LSE Research Online Documents on Economics (2003) (2003)

2005

23. Highwaymen or heroes: Should hedge funds be regulated?: A survey
    Journal of Financial Stability, 2005, 1, (4), 522-543 View citations (8)

2004

24. The impact of risk regulation on price dynamics
    Journal of Banking & Finance, 2004, 28, (5), 1069-1087 View citations (102)
    See also Working Paper The impact of risk regulation on price dynamics, LSE Research Online Documents on Economics (2004) View citations (80) (2004)

2003

25. On the Feasibility of Risk Based Regulation
    CESifo Economic Studies, 2003, 49, (2), 157-179 View citations (9)

2002

26. Incentives for effective risk management
    Journal of Banking & Finance, 2002, 26, (7), 1407-1425 View citations (15)
    See also Working Paper Incentives for Effective Risk Management, Tinbergen Institute Discussion Papers (2001) View citations (3) (2001)
27. Real trading patterns and prices in spot foreign exchange markets
    Journal of International Money and Finance, 2002, 21, (2), 203-222 View citations (90)
    See also Working Paper Real Trading Patterns and Prices in Spot Foreign Exchange Markets, FMG Discussion Papers (1999) View citations (9) (1999)
28. The emperor has no clothes: Limits to risk modelling
    Journal of Banking & Finance, 2002, 26, (7), 1273-1296 View citations (64)
    See also Working Paper The Emperor has no Clothes: Limits to Risk Modelling, FMG Special Papers (2000) (2000)

2001

29. Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
    Journal of Multivariate Analysis, 2001, 76, (2), 226-248 View citations (64)
    See also Working Paper Using a bootstrap method to choose the sample fraction in tail index estimation, Econometric Institute Research Papers (2000) View citations (4) (2000)

2000

30. 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)
31. Value-at-Risk and Extreme Returns
    Annals of Economics and Statistics, 2000, (60), 239-270 View citations (95)
    See also Working Paper Value-at-Risk and Extreme Returns, Tinbergen Institute Discussion Papers (1998) View citations (18) (1998)

1998

32. Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
    Journal of Empirical Finance, 1998, 5, (2), 155-173 View citations (42)
33. The value of value at risk: statistical, financial, and regulatory considerations (summary)
    Economic Policy Review, 1998, 4, (Oct), 107-108

1996

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

1994

35. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 393-95 View citations (4)
36. Stochastic volatility in asset prices estimation with simulated maximum likelihood
    Journal of Econometrics, 1994, 64, (1-2), 375-400 View citations (177)

1993

37. Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models
    Journal of Applied Econometrics, 1993, 8, (S), S153-73 View citations (84)

Books

2023

1. Central banks, macro-financial stability and the future of the financial system
   BIS Papers, Bank for International Settlements

2017

2. Brexit and the implications for financial services
   SUERF Studies, SUERF - The European Money and Finance Forum View citations (3)

Chapters

2012

1. Endogenous and Systemic Risk
   A chapter in Quantifying Systemic Risk, 2012, pp 73-94 View citations (22)

2007

2. Currency Crises, (Hidden) Linkages and Volume
   Chapter 10 in International Financial Instability Global Banking and National Regulation, 2007, pp 125-137