IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to follow this author

Jon Danielsson

This is information that was supplied by Jon Danielsson in registering through RePEc. If you are Jon Danielsson , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Jon
Middle Name:
Last Name:Danielsson
Suffix:
RePEc Short-ID:pda10
http://www.riskresearch.org
Department of Accounting and Finance London School of Economics
London, United Kingdom
http://fmg.lse.ac.uk/

: 020-7955-7002
020-7242-1006
Houghton Street, London WC2A 2AE
RePEc:edi:fmlseuk (more details at EDIRC)
in new window
  1. Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2016. "Learning from history: volatility and financial crises," LSE Research Online Documents on Economics 66046, London School of Economics and Political Science, LSE Library.
  2. Jon Danielsson & Lerby M. Ergun & Laurens de Haan & Casper G. de Vries, 2016. "Tail index estimation: quantile driven threshold selection," LSE Research Online Documents on Economics 66193, London School of Economics and Political Science, LSE Library.
  3. Jon Danielsson & Kevin R. James & Marcela Valenzuela & Ilknur Zer, 2015. "Can we prove a bank guilty of creating systemic risk?: a minority report," LSE Research Online Documents on Economics 65097, London School of Economics and Political Science, LSE Library.
  4. Jon Danielsson & Chen Zhou, 2015. "Why risk is so hard to measure," LSE Research Online Documents on Economics 62002, London School of Economics and Political Science, LSE Library.
  5. Efstathios Panayi & Gareth W. Peters & Jon Danielsson & Jean-Pierre Zigrand, 2015. "Designating market maker behaviour in Limit Order Book markets," Papers 1508.04348, arXiv.org.
  6. 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.).
  7. Christophe M. Boucher & Jon Danielsson & Patrick S. Kouontchou & Bertrand B. Maillet, 2013. "Risk models–at–risk," LSE Research Online Documents on Economics 59299, London School of Economics and Political Science, LSE Library.
  8. 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.
  9. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2011. "Balance Sheet Capacity and Endogenous Risk," FMG Discussion Papers dp665, Financial Markets Group.
  10. Jean-Pierre Zigrand & Hyun Song Shin & Jon Danielsson, 2010. "Risk Appetite and Endogenous Risk," FMG Discussion Papers dp647, Financial Markets Group.
  11. 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.
  12. Jean-Pierre Zigrand & Jon Danielsson, 2006. "Equilibrium Asset Pricing with Systemic Risk," FMG Discussion Papers dp561, Financial Markets Group.
  13. 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.
  14. 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.
  15. 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.
  16. Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2004. "The impact of risk regulation on price dynamics," LSE Research Online Documents on Economics 16628, London School of Economics and Political Science, LSE Library.
  17. 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.
  18. Jon Danielsson & Ryan Love, 2004. "Feedback trading," LSE Research Online Documents on Economics 24760, London School of Economics and Political Science, LSE Library.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson, 2001. "An Academic Response to Basel II," FMG Special Papers sp130, Financial Markets Group.
  24. Jón Daníelsson & Bjørn 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.
  25. Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries, 2001. "Incentives for Effective Risk Management," Tinbergen Institute Discussion Papers 01-094/2, Tinbergen Institute.
  26. 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.
  27. Jon Danielsson, 2000. "The Emperor has no Clothes: Limits to Risk Modelling," FMG Special Papers sp126, Financial Markets Group.
  28. Daníelsson, J. & de Haan, L.F.M. & Peng, L. & de Vries, C.G., 2000. "Using a bootstrap method to choose the sample fraction in tail index estimation," Econometric Institute Research Papers EI 2000-19/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  29. Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
  30. Jon Danielsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," FMG Discussion Papers dp298, Financial Markets Group.
  31. 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.
  32. 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.
  33. Jón Daníelsson & Casper G. de Vries, 1998. "Value-at-Risk and Extreme Returns," Tinbergen Institute Discussion Papers 98-017/2, Tinbergen Institute.
  34. Jon Danielsson, 1997. "Extreme Returns, Tail Estimation, and Value-at-Risk," FMG Discussion Papers dp273, Financial Markets Group.
  1. Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016. "Model risk of risk models," Journal of Financial Stability, Elsevier, vol. 23(C), pages 79-91.
  2. 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.
  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. 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.
  5. Jón 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. 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.
  7. Jón 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.
  8. 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.
  9. 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.
  10. Daníelsson, J., 2009. "On the efficacy of financial regulations," Financial Stability Review, Banque de France, issue 13, pages 53-63, September.
  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. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 293-319, May.
  14. Daníelsson, J. & Zigrand, JP., 2007. "Regulating hedge funds," Financial Stability Review, Banque de France, issue 10, pages 29-36, April.
  15. Jón Daníelsson & Ryan Love, 2006. "Feedback trading This paper is also available at www.riskresearch.org," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 35-53.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. Jón Daníelson, 2003. "On the Feasibility of Risk Based Regulation," CESifo Economic Studies, CESifo, vol. 49(2), pages 157-179.
  21. Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1273-1296, July.
  22. 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.
  23. 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.
  24. 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.
  25. Jon Danielsson & Casper G. De Vries, 2000. "Value-at-Risk and Extreme Returns," Annals of Economics and Statistics, GENES, issue 60, pages 239-270.
  26. 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.
  27. 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.
  28. Jon Danielsson & Casper 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.
  29. 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.
  30. 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.
  31. Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400.
  32. 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.
  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 is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (10) 2005-12-09 2005-12-09 2006-06-17 2010-03-06 2012-10-20 2014-06-22 2015-02-05 2015-02-05 2015-05-30 2016-02-23. Author is listed
  2. NEP-FMK: Financial Markets (4) 2002-02-15 2006-05-27 2006-06-17 2016-04-16
  3. NEP-BAN: Banking (3) 2010-03-06 2012-10-20 2014-06-22
  4. NEP-FIN: Finance (3) 2001-10-16 2006-05-27 2006-06-17
  5. NEP-CFN: Corporate Finance (2) 2006-05-27 2016-02-23
  6. NEP-FOR: Forecasting (2) 2014-06-22 2015-02-05
  7. NEP-MST: Market Microstructure (2) 2007-03-10 2015-09-05
  8. NEP-UPT: Utility Models & Prospect Theory (2) 2006-06-17 2010-03-06
  9. NEP-ACC: Accounting & Auditing (1) 2001-07-13
  10. NEP-BEC: Business Economics (1) 2010-03-06
  11. NEP-CBA: Central Banking (1) 2016-02-23
  12. NEP-DCM: Discrete Choice Models (1) 1998-09-07
  13. NEP-ECM: Econometrics (1) 2012-10-20
  14. NEP-ETS: Econometric Time Series (1) 2012-10-20
  15. NEP-HIS: Business, Economic & Financial History (1) 2016-04-16
  16. NEP-IFN: International Finance (1) 2007-03-10
  17. NEP-MON: Monetary Economics (1) 2016-02-23
  18. NEP-PKE: Post Keynesian Economics (1) 2002-02-15
For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Jon Danielsson should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.