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Jon Danielsson

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Personal Details

First Name: Jon
Middle Name:
Last Name: Danielsson
Suffix:

RePEc Short-ID: pda10

Email:
Homepage: http://www.riskresearch.org
Postal Address: Department of Accounting and Finance London School of Economics
Phone:

Affiliation

Financial Markets Group (FMG)
London School of Economics (LSE)
Location: London, United Kingdom
Homepage: http://fmg.lse.ac.uk/
Email:
Phone: 020-7955-7002
Fax: 020-7242-1006
Postal: Houghton Street, London WC2A 2AE
Handle: RePEc:edi:fmlseuk (more details at EDIRC)

Works

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Working papers

  1. Danielsson, Jon & James, Kevin & Valenzuela, Marcela & Zer, Ilknur, 2014. "Model Risk of Risk Models," Finance and Economics Discussion Series 2014-34, Board of Governors of the Federal Reserve System (U.S.).
  2. Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas, 2012. "Regime switches in the volatility and correlation of financial institutions," Working Paper Research 227, National Bank of Belgium.
  3. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2011. "Balance Sheet Capacity and Endogenous Risk," FMG Discussion Papers dp665, Financial Markets Group.
  4. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.
  5. Francisco Peñaranda & Jón Daníelsson, 2007. "On the impact of fundamentals, liquidity and coordination on market stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2010.
  6. Jean-Pierre Zigrand & Jon Danielsson, 2006. "Equilibrium Asset Pricing with Systemic Risk," FMG Discussion Papers dp561, Financial Markets Group.
  7. Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson, 2006. "Consistent Measures of Risk," FMG Discussion Papers dp565, Financial Markets Group.
  8. Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Comparing Downside Risk Measures for Heavy Tailed Distributions," FMG Discussion Papers dp551, Financial Markets Group.
  9. Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson, 2005. "Subadditivity Re–Examined: the Case for Value-at-Risk," FMG Discussion Papers dp549, Financial Markets Group.
  10. Jean-Pierre Zigrand & Ashley Taylor & Jon Danielsson, 2004. "(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?," FMG Discussion Papers dp518, Financial Markets Group.
  11. Jon Danielsson & Ryan Love, 2004. "Feedback trading," LSE Research Online Documents on Economics 24760, London School of Economics and Political Science, LSE Library.
  12. Jon Danielsson & Ashley Taylor & Jean-Pierre Zigrand, 2004. "Highwaymen or heroes: should hedge funds be regulated?," LSE Research Online Documents on Economics 24782, London School of Economics and Political Science, LSE Library.
  13. Jean-Pierre Zigrand & Jon Danielsson, 2003. "On time-scaling of risk and the square–root–of–time rule," FMG Discussion Papers dp439, Financial Markets Group.
  14. Burak Saltoglu & Jon Danielsson, 2003. "Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis," FMG Discussion Papers dp456, Financial Markets Group.
  15. Jean-Pierre Zigrand & Jon Danielsson & Hyun Song Shin, 2001. "Asset Price Dynamics with Value-at-Risk Constrained Traders," FMG Discussion Papers dp394, Financial Markets Group.
  16. Jean-Pierre Zigrand & Jon Danielsson, 2001. "What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model," FMG Discussion Papers dp393, Financial Markets Group.
  17. J�n Dan�elsson & Bj�rn N. Jorgensen & Casper G. de Vries & Xiaogang Yang, 2001. "Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation," Tinbergen Institute Discussion Papers 01-069/2, Tinbergen Institute.
  18. Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson, 2001. "An Academic Response to Basel II," FMG Special Papers sp130, Financial Markets Group.
  19. J�n Dan�elsson & Bj�rn N. Jorgensen & Casper G. de Vries, 2001. "Incentives for Effective Risk Management," Tinbergen Institute Discussion Papers 01-094/2, Tinbergen Institute.
  20. Jon Danielsson, 2000. "The Emperor has no Clothes: Limits to Risk Modelling," FMG Special Papers sp126, Financial Markets Group.
  21. Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
  22. Philipp Hartmann & Jon Danielsson, 1998. "The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor," FMG Special Papers sp100, Financial Markets Group.
  23. Silvia Caserta & Jon Danielsson & Casper G. de Vries, 1998. "Abnormal Returns, Risk, and Options in Large Data Sets," Tinbergen Institute Discussion Papers 98-107/2, Tinbergen Institute.
  24. Jón Daníelsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," Tinbergen Institute Discussion Papers 98-016/2, Tinbergen Institute.
  25. Jón Daníelsson & Casper G. de Vries, 1998. "Value-at-Risk and Extreme Returns," Tinbergen Institute Discussion Papers 98-017/2, Tinbergen Institute.
  26. Jon Danielsson, 1997. "Extreme Returns, Tail Estimation, and Value-at-Risk," FMG Discussion Papers dp273, Financial Markets Group.
  27. J. Danielsson & L. de Haan & L. Peng & C.G. de Vries, 1997. "Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation," Tinbergen Institute Discussion Papers 97-016/4, Tinbergen Institute.

Articles

  1. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
  2. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
  3. Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.
  4. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012. "Endogenous Extreme Events and the Dual Role of Prices," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 111-129, 07.
  5. J�n Daníelsson & Jinhui Luo & Richard Payne, 2012. "Exchange rate determination and inter-market order flow effects," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 823-840, October.
  6. J�n Daníelsson & Richard Payne, 2012. "Liquidity determination in an order-driven market," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 799-821, October.
  7. Sigridur Benediktsdottir & Jon Danielsson & Gylfi Zoega, 2011. "Lessons from a collapse of a financial system," Economic Policy, CEPR & CES & MSH, vol. 26(66), pages 183-231, 04.
  8. Jón Daníelsson & Francisco Peñaranda, 2011. "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, vol. 52(3), pages 621-638, 08.
  9. Daníelsson, J., 2009. "On the efficacy of financial regulations," Financial Stability Review, Banque de France, issue 13, pages 53-63, September.
  10. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer, vol. 35(2), pages 293-319, May.
  11. Daníelsson, Jón, 2008. "Blame the models," Journal of Financial Stability, Elsevier, vol. 4(4), pages 321-328, December.
  12. Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang, 2008. "Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation," Annals of Finance, Springer, vol. 4(3), pages 345-367, July.
  13. Daníelsson, J. & Zigrand, JP., 2007. "Regulating hedge funds," Financial Stability Review, Banque de France, issue 10, pages 29-36, April.
  14. Danielsson, Jon & Jorgensen, Bjorn N. & Sarma, Mandira & de Vries, Casper G., 2006. "Comparing downside risk measures for heavy tailed distributions," Economics Letters, Elsevier, vol. 92(2), pages 202-208, August.
  15. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October.
  16. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
  17. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004. "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1069-1087, May.
  18. Danielsson, J. & Payne, R., 2002. "Real trading patterns and prices in spot foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 203-222, April.
  19. Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G., 2002. "Incentives for effective risk management," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1407-1425, July.
  20. Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1273-1296, July.
  21. Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001. "Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 226-248, February.
  22. Jon DANIELSSON & Casper G. DE VRIES, 2000. "Value-at-Risk and Extreme Returns," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 239-270.
  23. Danielsson, Jon & Morimoto, Yuji, 2000. "Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 25-48, December.
  24. Jon Danielsson & Casper G. de Vries & Bjorn N. Jorgensen, 1998. "The value of value at risk: statistical, financial, and regulatory considerations (summary)," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 107-108.
  25. Danielsson, Jon, 1998. "Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 155-173, June.
  26. Daníelsson Jón, 1996. "Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(1), pages 1-8, April.
  27. Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400.
  28. Danielsson, Jon, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 393-95, October.
  29. Danielsson, J & Richard, J-F, 1993. "Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S153-73, Suppl. De.

Chapters

  1. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012. "Endogenous and Systemic Risk," NBER Chapters, in: Quantifying Systemic Risk, pages 73-94 National Bureau of Economic Research, Inc.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (3) 2010-03-06 2012-10-20 2014-06-22. Author is listed
  2. NEP-BEC: Business Economics (1) 2010-03-06
  3. NEP-CFN: Corporate Finance (1) 2006-05-27
  4. NEP-ECM: Econometrics (1) 2012-10-20
  5. NEP-ETS: Econometric Time Series (1) 2012-10-20
  6. NEP-FIN: Finance (3) 2001-10-16 2006-05-27 2006-06-17. Author is listed
  7. NEP-FMK: Financial Markets (2) 2006-05-27 2006-06-17
  8. NEP-FOR: Forecasting (1) 2014-06-22
  9. NEP-IFN: International Finance (1) 2007-03-10
  10. NEP-MST: Market Microstructure (1) 2007-03-10
  11. NEP-RMG: Risk Management (6) 2005-12-09 2005-12-09 2006-06-17 2010-03-06 2012-10-20 2014-06-22. Author is listed
  12. NEP-UPT: Utility Models & Prospect Theory (2) 2006-06-17 2010-03-06

Statistics

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