Jon Danielsson
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Danielsson |
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Affiliations
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London School of Economics (LSE)
/ Financial Markets Group (FMG)
Research profile
author of:
- Value-at-Risk and Extreme Returns (RePEc:adr:anecst:y:2000:i:60:p:239-270)
by Jon Danielsson & Casper G. De Vries - Endogenous Extreme Events and the Dual Role of Prices (RePEc:anr:reveco:v:4:y:2012:p:111-129)
by Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand - Designating market maker behaviour in Limit Order Book markets (RePEc:arx:papers:1508.04348)
by Efstathios Panayi & Gareth W. Peters & Jon Danielsson & Jean-Pierre Zigrand - On the use of artificial intelligence in financial regulations and the impact on financial stability (RePEc:arx:papers:2310.11293)
by Jon Danielsson & Andreas Uthemann - Challenges in Implementing Worst-Case Analysis (RePEc:bca:bocawp:18-47)
by Jon Danielsson & Lerby Ergun & Casper G. de Vries - Tail Index Estimation: Quantile-Driven Threshold Selection (RePEc:bca:bocawp:19-28)
by Jon Danielsson & Lerby Ergun & Laurens de Haan & Casper G. de Vries - Bayesian Analysis of Stochastic Volatility Models: Comment (RePEc:bes:jnlbes:v:12:y:1994:i:4:p:393-95)
by Danielsson, Jon - Regulating hedge funds (RePEc:bfr:fisrev:2007:10:3)
by Daníelsson, J. & Zigrand, JP. - On the efficacy of financial regulations (RePEc:bfr:fisrev:2009:13:6)
by Daníelsson, J. - Central banks, macro-financial stability and the future of the financial system (RePEc:bis:bisbps:140)
by Esther L George & Daron Acemoglu & Hilary J Allen & Jón Daníelsson & Fabio Panetta & Ida Wolden Bache & Shaktikanta Das & Tiff Macklem - Unknown item RePEc:bla:ecpoli:v:26:y:2011:i:66:p:183-231 (article)
- Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code (RePEc:bpj:sndecm:v:1:y:1996:i:1:n:al1)
by Daníelsson Jón - Tail Index and Quantile Estimation with Very High Frequency Data (RePEc:ces:ceswps:_116)
by Casper De Vries & Jon Danielsson & Casper G, de Vries - Comparing downside risk measures for heavy tailed distributions (RePEc:eee:ecolet:v:92:y:2006:i:2:p:202-208)
by Danielsson, Jon & Jorgensen, Bjorn N. & Sarma, Mandira & de Vries, Casper G. - Fat tails, VaR and subadditivity (RePEc:eee:econom:v:172:y:2013:i:2:p:283-291)
by Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G. - Stochastic volatility in asset prices estimation with simulated maximum likelihood (RePEc:eee:econom:v:64:y:1994:i:1-2:p:375-400)
by Danielsson, Jon - Designating market maker behaviour in limit order book markets (RePEc:eee:ecosta:v:5:y:2018:i:c:p:20-44)
by Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrand, Jean-Pierre - Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models (RePEc:eee:empfin:v:5:y:1998:i:2:p:155-173)
by Danielsson, Jon - Highwaymen or heroes: Should hedge funds be regulated?: A survey (RePEc:eee:finsta:v:1:y:2005:i:4:p:522-543)
by Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre - Model risk of risk models (RePEc:eee:finsta:v:23:y:2016:i:c:p:79-91)
by Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur - Blame the models (RePEc:eee:finsta:v:4:y:2008:i:4:p:321-328)
by Daníelsson, Jón - Robust forecasting of dynamic conditional correlation GARCH models (RePEc:eee:intfor:v:29:y:2013:i:2:p:244-257)
by Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien - Artificial intelligence and systemic risk (RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621002466)
by Daníelsson, Jón & Macrae, Robert & Uthemann, Andreas - The emperor has no clothes: Limits to risk modelling (RePEc:eee:jbfina:v:26:y:2002:i:7:p:1273-1296)
by Danielsson, Jon - Incentives for effective risk management (RePEc:eee:jbfina:v:26:y:2002:i:7:p:1407-1425)
by Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G. - The impact of risk regulation on price dynamics (RePEc:eee:jbfina:v:28:y:2004:i:5:p:1069-1087)
by Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre - On time-scaling of risk and the square-root-of-time rule (RePEc:eee:jbfina:v:30:y:2006:i:10:p:2701-2713)
by Danielsson, Jon & Zigrand, Jean-Pierre - Risk models-at-risk (RePEc:eee:jbfina:v:44:y:2014:i:c:p:72-92)
by Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B. - Real trading patterns and prices in spot foreign exchange markets (RePEc:eee:jimfin:v:21:y:2002:i:2:p:203-222)
by Danielsson, J. & Payne, R. - Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (RePEc:eee:jmvana:v:76:y:2001:i:2:p:226-248)
by Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G. - Artificial intelligence and systemic risk (RePEc:ehl:lserod:111601)
by Danielsson, Jon & Macrae, Robert & Uthemann, Andreas - The impact of risk cycles on business cycles: a historical view (RePEc:ehl:lserod:117384)
by Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur - Financial volatility and economic growth, 1870-2016 (RePEc:ehl:lserod:118886)
by Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur - Cryptocurrencies: policy, economics and fairness (RePEc:ehl:lserod:118913)
by Danielsson, Jon - Market resilience (RePEc:ehl:lserod:118932)
by Danielsson, Jon & Panayi, Efstathios & Peters, Gareth & Zigrand, Jean-Pierre - Learning from history: volatility and financial crises (RePEc:ehl:lserod:118942)
by Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur - Asset price dynamics with value-at-risk constrained traders (RePEc:ehl:lserod:119092)
by Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre - Real trading patterns and prices in spot foreign exchange markets (RePEc:ehl:lserod:119126)
by Danielsson, Jon & Payne, Richard - Beyond the sample: extreme quantile and probability estimation (RePEc:ehl:lserod:119141)
by Danielsson, Jon & Vries, Casper - Value-at-risk and extreme returns (RePEc:ehl:lserod:119166)
by Danielsson, Jon & Vries, Casper - Can we prove a bank guilty of creating systemic risk? A minority report (RePEc:ehl:lserod:119462)
by Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur - The impact of risk regulation on price dynamics (RePEc:ehl:lserod:16628)
by Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre - On the impact of fundamentals, liquidity and coordination on market stability (RePEc:ehl:lserod:24480)
by Danielsson, Jon & Penaranda, Francisco - Equilibrium asset pricing with systemic risk (RePEc:ehl:lserod:24515)
by Danielsson, Jon & Zigrand, Jean-Pierre - Consistent measures of risk (RePEc:ehl:lserod:24517)
by Danielsson, Jon & Zigrand, Jean-Pierre & Jorgensen, Bjørn N. & Sarma, Mandira & de Vries, C. G. - Subadditivity re–examined: the case for value-at-risk (RePEc:ehl:lserod:24668)
by Danielsson, Jon & Jorgensen, Bjørn N. & Mandira, Sarma & Samorodnitsky, Gennady & Vries, C. G. de - Comparing downside risk measures for heavy tailed distribution (RePEc:ehl:lserod:24671)
by Danielsson, Jon & Jorgensen, Bjørn N. & Sarma, Mandira & Vries, C. G. de - Feedback trading (RePEc:ehl:lserod:24760)
by Danielsson, Jon & Love, Ryan - Unknown item RePEc:ehl:lserod:24782 (paper)
- Equilibrium asset pricing with systemic risk (RePEc:ehl:lserod:24823)
by Danielsson, Jon & Zigrand, Jean-Pierre - On time-scaling of risk and the square–root–of–time rule (RePEc:ehl:lserod:24827)
by Danielsson, Jon & Zigrand, Jean-Pierre - Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis (RePEc:ehl:lserod:24855)
by Danielsson, Jon & Saltoglu, Burak - What happens when you regulate risk?: evidence from a simple equilibrium model (RePEc:ehl:lserod:25069)
by Zigrand, Jean-Pierre & Danielsson, Jon - Balance sheet capacity and endogenous risk (RePEc:ehl:lserod:43141)
by Danielsson, Jon & Song Shin, Hyun & Zigrand, Jean-Pierre - Political challenges of the macroprudential agenda (RePEc:ehl:lserod:56385)
by Chwieroth, Jeffrey & Danielsson, Jon - Model risk of risk models (RePEc:ehl:lserod:59296)
by Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur - Risk models–at–risk (RePEc:ehl:lserod:59299)
by Boucher, Christophe M. & Danielsson, Jon & Kouontchou, Patrick S. & Maillet, Bertrand B. - Why risk is so hard to measure (RePEc:ehl:lserod:62002)
by Danielsson, Jon & Zhou, Chen - Can we prove a bank guilty of creating systemic risk? A minority report (RePEc:ehl:lserod:65097)
by Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur - Learning from history: volatility and financial crises (RePEc:ehl:lserod:66046)
by Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur - Tail index estimation: quantile driven threshold selection (RePEc:ehl:lserod:66193)
by Danielsson, Jon & Ergun, Lerby M. & Haan, Laurens de & Vries, Casper G. de - Model risk of risk models (RePEc:ehl:lserod:66365)
by Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur - Can we prove a bank guilty of creating systemic risk? A minority report (RePEc:ehl:lserod:66721)
by Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur - The fatal flaw in macropru: it ignores political risk (RePEc:ehl:lserod:70703)
by Danielsson, Jon & Macrae, Robert - Why macropru can end up being procyclical (RePEc:ehl:lserod:70711)
by Danielsson, Jon & Macrae, Robert & Tsomocos, Dimitrios P. & Zigrand, Jean-Pierre - Brexit and systemic risk (RePEc:ehl:lserod:85124)
by Danielsson, Jon & Macrae, Robert & Micheler, Eva - Designating market maker behaviour in limit order book markets (RePEc:ehl:lserod:90424)
by Panayi, Efstathios & Peters, Gareth W. & Danielsson, Jon & Zigrandd, Jean-Pierre - Learning from history: volatility and financial crises (RePEc:ehl:lserod:91136)
by Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur - Using a bootstrap method to choose the sample fraction in tail index estimation (RePEc:ems:eureir:1652)
by Daníelsson, J. & de Haan, L.F.M. & Peng, L. & de Vries, C.G. - Brexit and the implications for financial services (RePEc:erf:erfstu:90)
by Franklin Allen & John Armour & Morten Balling & Anthony Belchambers & Jon Danielsson & Ernest Gnan & Charles Grant & Piers Haben & Patricia Jackson & Robert Macrae & Eva Micheler & Menno Middeldorp & - Model Risk of Risk Models (RePEc:fip:fedgfe:2014-34)
by Jón Daníelsson & Kevin James & Marcela Valenzuela & Ilknur Zer - Learning from History : Volatility and Financial Crises (RePEc:fip:fedgfe:2016-93)
by Jón Daníelsson & Marcela Valenzuela & Ilknur Zer - Low Risk as a Predictor of Financial Crises (RePEc:fip:fedgfn:2018-05-09)
by Jón Daníelsson & Marcela Valenzuela & Ilknur Zer - How global risk perceptions affect economic growth (RePEc:fip:fedgfn:2022-02-03-2)
by Jón Daníelsson & Marcela Valenzuela & Ilknur Zer - The impact of risk cycles on business cycles: a historical view (RePEc:fip:fedgif:1358)
by Jón Daníelsson & Marcela Valenzuela & Ilknur Zer - The value of value at risk: statistical, financial, and regulatory considerations (summary) (RePEc:fip:fednep:y:1998:i:oct:p:107-108:n:v.4no.3)
by Jón Daníelsson & Casper G. De Vries & Bjorn N. Jorgensen - Extreme Returns, Tail Estimation, and Value-at-Risk (RePEc:fmg:fmgdps:dp273)
by Jon Danielsson - Beyond the Sample: Extreme Quantile and Probability Estimation (RePEc:fmg:fmgdps:dp298)
by Jon Danielsson & Casper G. de Vries - Real Trading Patterns and Prices in Spot Foreign Exchange Markets (RePEc:fmg:fmgdps:dp320)
by Jon Danielsson & Richard Payne - What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model (RePEc:fmg:fmgdps:dp393)
by Jean-Pierre Zigrand & Jon Danielsson - Asset Price Dynamics with Value-at-Risk Constrained Traders (RePEc:fmg:fmgdps:dp394)
by Jean-Pierre Zigrand & Jon Danielsson & Hyun Song Shin - On time-scaling of risk and the square–root–of–time rule (RePEc:fmg:fmgdps:dp439)
by Jean-Pierre Zigrand & Jon Danielsson - Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis (RePEc:fmg:fmgdps:dp456)
by Burak Saltoglu & Jon Danielsson - (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? (RePEc:fmg:fmgdps:dp518)
by Jean-Pierre Zigrand & Ashley Taylor & Jon Danielsson - Subadditivity Re–Examined: the Case for Value-at-Risk (RePEc:fmg:fmgdps:dp549)
by Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson - Comparing Downside Risk Measures for Heavy Tailed Distributions (RePEc:fmg:fmgdps:dp551)
by Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson - Equilibrium Asset Pricing with Systemic Risk (RePEc:fmg:fmgdps:dp561)
by Jean-Pierre Zigrand & Jon Danielsson - Consistent Measures of Risk (RePEc:fmg:fmgdps:dp565)
by Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson - On the Impact of Fundamentals, Liquidity and Coordination on Market Stability (RePEc:fmg:fmgdps:dp586)
by Francisco Penaranda & Jon Danielsson - Risk Appetite and Endogenous Risk (RePEc:fmg:fmgdps:dp647)
by Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson - Balance Sheet Capacity and Endogenous Risk (RePEc:fmg:fmgdps:dp665)
by Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand - The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor (RePEc:fmg:fmgsps:sp100)
by Philipp Hartmann & Jon Danielsson - The Emperor has no Clothes: Limits to Risk Modelling (RePEc:fmg:fmgsps:sp126)
by Jon Danielsson - An Academic Response to Basel II (RePEc:fmg:fmgsps:sp130)
by Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson - Risk models-at-risk (RePEc:hal:journl:hal-01243413)
by Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet - Risk Model-at-Risk (RePEc:hal:journl:hal-01386003)
by Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet - Risk models-at-risk (RePEc:hal:journl:hal-02312332)
by Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet - On The Impact Of Fundamentals, Liquidity, And Coordination On Market Stability (RePEc:ier:iecrev:v:52:y:2011:i:3:p:621-638)
by Jón Daníelsson & Francisco Peñaranda - Feedback trading This paper is also available at www.riskresearch.org (RePEc:ijf:ijfiec:v:11:y:2006:i:1:p:35-53)
by Jón Daníelsson & Ryan Love - Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market (RePEc:ime:imemes:v:18:y:2000:i:2:p:25-48)
by Danielsson, Jon & Morimoto, Yuji - Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks (RePEc:imf:imfwpa:2018/197)
by Ron Anderson & Jon Danielsson & Chikako Baba & Mr. Udaibir S Das & Mr. Heedon Kang & Miguel A. Segoviano - Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models (RePEc:jae:japmet:v:8:y:1993:i:s:p:s153-73)
by Danielsson, J & Richard, J-F - Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation (RePEc:kap:annfin:v:4:y:2008:i:3:p:345-367)
by Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang - Regime switches in the volatility and correlation of financial institutions (RePEc:nbb:reswpp:201210-227)
by Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas - Endogenous and Systemic Risk (RePEc:nbr:nberch:12054)
by Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand - On the Feasibility of Risk Based Regulation (RePEc:oup:cesifo:v:49:y:2003:i:2:p:157-179.)
by Jón Daníelson - Lessons from a collapse of a financial system
[Looting: The economic underworld of bankruptcy for profit] (RePEc:oup:ecpoli:v:26:y:2011:i:66:p:183-235.)
by Sigridur Benediktsdottir & Jon Danielsson & Gylfi Zoega - Learning from History: Volatility and Financial Crises (RePEc:oup:rfinst:v:31:y:2018:i:7:p:2774-2805.)
by Jon Danielsson & Marcela Valenzuela & Ilknur Zer - The Impact of Risk Cycles on Business Cycles: A Historical View (RePEc:oup:rfinst:v:36:y:2023:i:7:p:2922-2961.)
by Jon Danielsson & Marcela Valenzuela & Ilknur Zer - Equilibrium asset pricing with systemic risk (RePEc:spr:joecth:v:35:y:2008:i:2:p:293-319)
by Jón Daníelsson & Jean-Pierre Zigrand - Liquidity determination in an order-driven market (RePEc:taf:eurjfi:v:18:y:2012:i:9:p:799-821)
by Jón Daníelsson & Richard Payne - Exchange rate determination and inter-market order flow effects (RePEc:taf:eurjfi:v:18:y:2012:i:9:p:823-840)
by Jón Daníelsson & Jinhui Luo & Richard Payne - Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation (RePEc:tin:wpaper:19970016)
by J. Danielsson & L. de Haan & L. Peng & C.G. de Vries - Beyond the Sample: Extreme Quantile and Probability Estimation (RePEc:tin:wpaper:19980016)
by Jón Daníelsson & Casper G. de Vries - Value-at-Risk and Extreme Returns (RePEc:tin:wpaper:19980017)
by Jón Daníelsson & Casper G. de Vries - Abnormal Returns, Risk, and Options in Large Data Sets (RePEc:tin:wpaper:19980107)
by Silvia Caserta & Jon Danielsson & Casper G. de Vries - Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation (RePEc:tin:wpaper:20010069)
by Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries & Xiaogang Yang - Incentives for Effective Risk Management (RePEc:tin:wpaper:20010094)
by Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries - On the impact of fundamentals, liquidity and coordination on market stability (RePEc:upf:upfgen:1003)
by Francisco Peñaranda & Jón Daníelsson - Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report (RePEc:wly:jmoncb:v:48:y:2016:i:4:p:795-812)
by Jon Danielsson & Kevin R. James & Marcela Valenzuela & Ilknur Zer - Currency Crises, (Hidden) Linkages and Volume (RePEc:wsi:wschap:9789812708731_0010)
by Max Bruche & Jon Danielsson & Gabriele Galati