Details about Jon Danielsson

E-mail:
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 2021-06-05. Update your information in the RePEc Author Service.

Short-id: pda10

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Working Papers

2022

1. How global risk perceptions affect economic growth
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
2. 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

3. 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

4. Challenges in Implementing Worst-Case Analysis
   Staff Working Papers, Bank of Canada View citations (1)
5. 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)
6. 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)
7. Low Risk as a Predictor of Financial Crises
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
8. Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks
   IMF Working Papers, International Monetary Fund View citations (13)

2017

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

2016

10. 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)
11. 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)
12. 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)
13. 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

14. 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

15. 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

16. 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

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

2011

18. 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

19. 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)
20. Risk Appetite and Endogenous Risk
    FMG Discussion Papers, Financial Markets Group View citations (28)

2008

21. 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

22. 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

23. 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)
24. 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

25. (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?
    FMG Discussion Papers, Financial Markets Group
26. Feedback trading
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
27. 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

28. 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)
29. 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

30. An Academic Response to Basel II
    FMG Special Papers, Financial Markets Group
31. Asset Price Dynamics with Value-at-Risk Constrained Traders
    FMG Discussion Papers, Financial Markets Group View citations (9)
32. Incentives for Effective Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article in Journal of Banking & Finance (2002)
33. Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
34. 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

35. 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)
36. 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

37. 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

38. Abnormal Returns, Risk, and Options in Large Data Sets
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
39. 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)
40. The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor
    FMG Special Papers, Financial Markets Group
41. 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

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

1996

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

Journal Articles

2018

1. 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)
2. 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

3. 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)
4. Model risk of risk models
   Journal of Financial Stability, 2016, 23, (C), 79-91 View citations (41)
   See also Working Paper (2016)

2014

5. Risk models-at-risk
   Journal of Banking & Finance, 2014, 44, (C), 72-92 View citations (26)
   See also Working Paper (2014)

2013

6. Fat tails, VaR and subadditivity
   Journal of Econometrics, 2013, 172, (2), 283-291 View citations (48)
7. Robust forecasting of dynamic conditional correlation GARCH models
   International Journal of Forecasting, 2013, 29, (2), 244-257 View citations (43)

2012

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

2011

11. 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)
12. 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

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

2008

14. Blame the models
    Journal of Financial Stability, 2008, 4, (4), 321-328 View citations (18)
15. Equilibrium asset pricing with systemic risk
    Economic Theory, 2008, 35, (2), 293-319 View citations (22)
    See also Working Paper (2008)
16. 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

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

2006

18. Comparing downside risk measures for heavy tailed distributions
    Economics Letters, 2006, 92, (2), 202-208 View citations (20)
    See also Working Paper (2005)
19. Feedback trading This paper is also available at www.riskresearch.org
    International Journal of Finance & Economics, 2006, 11, (1), 35-53 View citations (1)
20. 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

21. Highwaymen or heroes: Should hedge funds be regulated?: A survey
    Journal of Financial Stability, 2005, 1, (4), 522-543 View citations (7)

2004

22. 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

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

2002

24. Incentives for effective risk management
    Journal of Banking & Finance, 2002, 26, (7), 1407-1425 View citations (14)
    See also Working Paper (2001)
25. 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)
26. 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

27. 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

28. 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)
29. Value-at-Risk and Extreme Returns
    Annals of Economics and Statistics, 2000, (60), 239-270 View citations (92)
    See also Working Paper (1998)

1998

30. Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
    Journal of Empirical Finance, 1998, 5, (2), 155-173 View citations (41)
31. The value of value at risk: statistical, financial, and regulatory considerations (summary)
    Economic Policy Review, 1998, 4, (Oct), 107-108

1996

32. 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

33. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 393-95 View citations (4)
34. Stochastic volatility in asset prices estimation with simulated maximum likelihood
    Journal of Econometrics, 1994, 64, (1-2), 375-400 View citations (169)

1993

35. 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

1. 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 (21)

2007

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