Access Statistics for Jon Danielsson

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? 0 0 0 359 0 0 2 718
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 0 0 0 1,110
An Academic Response to Basel II 2 2 3 1,522 2 5 12 3,371
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 0 1 121 0 1 3 327
Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis 0 0 0 1 0 0 0 41
Artificial intelligence and financial crises 0 0 19 20 0 0 14 15
Artificial intelligence and systemic risk 0 1 2 21 0 2 7 54
Asset Price Dynamics with Value-at-Risk Constrained Traders 0 0 0 157 0 0 0 457
Asset price dynamics with value-at-risk constrained traders 0 0 0 0 0 0 0 0
Balance Sheet Capacity and Endogenous Risk 0 0 3 143 0 1 10 505
Balance sheet capacity and endogenous risk 0 0 0 46 0 1 6 181
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 0 0 0 1,427
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 0 1 2 2,045
Beyond the sample: extreme quantile and probability estimation 0 0 0 0 0 0 0 1
Brexit and systemic risk 0 0 0 10 0 0 2 25
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 0 0 0 1 1
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 0 0 2 48
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 21 0 0 0 31
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 1 4 37
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 0 1 3 813
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 0 1 35
Consistent Measures of Risk 1 1 1 289 2 2 3 750
Consistent measures of risk 0 0 0 4 0 0 0 46
Cryptocurrencies: policy, economics and fairness 0 0 1 1 0 0 2 3
Designating market maker behaviour in Limit Order Book markets 0 0 1 10 0 0 3 35
Designating market maker behaviour in limit order book markets 0 0 0 6 0 1 5 33
Equilibrium Asset Pricing with Systemic Risk 0 0 0 203 0 0 1 576
Equilibrium asset pricing with systemic risk 0 0 0 3 0 0 1 56
Equilibrium asset pricing with systemic risk 0 0 0 7 0 0 2 46
Extreme Returns, Tail Estimation, and Value-at-Risk 0 1 1 1,620 0 1 3 3,881
Feedback trading 0 0 0 9 1 1 2 57
Financial volatility and economic growth, 1870-2016 0 0 3 3 0 0 4 9
How global risk perceptions affect economic growth 0 0 0 15 0 1 8 41
Incentives for Effective Risk Management 0 0 0 400 1 1 1 921
Learning from History: Volatility and Financial Crises 0 0 1 87 0 0 7 163
Learning from history: volatility and financial crises 0 0 1 7 1 1 2 33
Learning from history: volatility and financial crises 0 0 1 79 0 1 2 115
Learning from history: volatility and financial crises 0 0 0 0 0 0 1 1
Low Risk as a Predictor of Financial Crises 0 0 3 59 0 0 4 65
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks 0 0 0 45 0 1 4 48
Market resilience 0 0 0 0 0 0 0 1
Model Risk of Risk Models 0 1 3 125 0 1 4 143
Model risk of risk models 0 0 1 42 0 0 4 76
Model risk of risk models 0 0 0 46 0 0 1 86
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 0 0 0 42 0 0 0 182
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 1 0 1 2 53
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 0 1 3 417
On the use of artificial intelligence in financial regulations and the impact on financial stability 0 0 3 17 1 2 10 29
On time-scaling of risk and the square–root–of–time rule 0 0 3 799 0 4 22 3,349
On time-scaling of risk and the square–root–of–time rule 0 1 1 22 0 1 1 115
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 0 0 0 656
Political challenges of the macroprudential agenda 0 0 1 7 0 0 2 18
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 0 0 0 501 0 0 0 1,801
Real trading patterns and prices in spot foreign exchange markets 0 0 0 0 1 1 2 2
Regime switches in the volatility and correlation of financial institutions 0 0 1 102 0 0 5 193
Risk Appetite and Endogenous Risk 0 0 4 453 2 3 15 1,093
Risk Model-at-Risk 0 0 0 0 0 0 0 39
Risk models-at-risk 0 0 0 0 1 2 2 20
Risk models-at-risk 0 0 0 1 1 2 2 61
Risk models–at–risk 0 0 1 45 0 0 3 125
Subadditivity Re–Examined: the Case for Value-at-Risk 0 1 4 441 1 5 16 1,230
Subadditivity re–examined: the case for value-at-risk 0 0 4 16 1 2 8 112
Tail Index Estimation: Quantile-Driven Threshold Selection 1 1 3 30 2 3 12 98
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 9 0 1 2 681
Tail index estimation: quantile driven threshold selection 0 0 0 8 0 0 0 87
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 0 0 0 166 2 3 5 456
The Emperor has no Clothes: Limits to Risk Modelling 0 0 0 735 0 0 6 1,827
The fatal flaw in macropru: it ignores political risk 0 0 0 3 0 0 1 14
The impact of risk cycles on business cycles: a historical view 0 0 1 29 0 1 3 8
The impact of risk cycles on business cycles: a historical view 0 0 1 26 2 3 6 46
The impact of risk regulation on price dynamics 0 0 0 20 0 0 0 94
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 1 1 3 1,805
Using a bootstrap method to choose the sample fraction in tail index estimation 0 0 0 25 0 1 1 148
Value-at-Risk and Extreme Returns 0 0 5 1,310 0 0 7 3,040
Value-at-risk and extreme returns 0 0 0 0 0 1 2 3
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 0 0 212 0 0 1 647
What happens when you regulate risk?: evidence from a simple equilibrium model 0 0 0 8 0 0 1 39
Why macropru can end up being procyclical 0 0 0 4 0 0 2 24
Why risk is so hard to measure 0 0 1 32 1 2 7 91
Total Working Papers 4 9 78 13,349 23 64 285 37,030
1 registered items for which data could not be found


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models 0 0 0 218 0 1 1 665
Artificial intelligence and systemic risk 2 5 11 27 5 18 47 112
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 1 2 354
Blame the models 0 1 12 193 0 2 15 450
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 0 1 22 1 1 6 78
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 0 0 0 211
Countercyclical Capital and Currency Dependence 0 0 1 1 0 0 1 1
Designating market maker behaviour in limit order book markets 0 0 0 5 0 0 3 31
Endogenous Extreme Events and the Dual Role of Prices 0 1 2 48 1 3 8 258
Equilibrium asset pricing with systemic risk 0 0 0 94 0 0 1 233
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 0 0 0 623 0 0 0 1,259
Exchange rate determination and inter-market order flow effects 0 0 2 19 0 1 6 75
Fat tails, VaR and subadditivity 0 0 2 137 3 6 11 531
Feedback trading This paper is also available at www.riskresearch.org 0 0 0 41 0 0 1 235
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 0 0 142 0 2 2 439
Foreword 0 0 0 0 0 0 1 1
Foreword 0 0 0 0 0 0 0 0
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 0 247 0 1 1 683
Incentives for effective risk management 0 0 0 104 0 0 0 321
Learning from History: Volatility and Financial Crises 0 1 5 42 0 2 12 171
Lessons from a collapse of a financial system 0 0 1 13 0 0 7 320
Liquidity determination in an order-driven market 0 1 2 34 0 2 5 95
Model risk of risk models 0 0 2 72 0 1 7 313
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 0 0 2 317 0 2 7 783
ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY 0 0 0 17 0 0 0 101
On the Feasibility of Risk Based Regulation 0 0 0 4 0 0 0 21
On the Role of Regulatory Banking Capital 0 1 1 1 0 1 2 2
On the efficacy of financial regulations 0 0 0 39 0 3 5 118
On time-scaling of risk and the square-root-of-time rule 0 0 0 274 0 5 13 908
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 0 0 1 199
Real trading patterns and prices in spot foreign exchange markets 0 0 0 207 2 2 2 544
Regulating hedge funds 0 0 0 20 0 0 1 104
Risk models-at-risk 0 1 3 64 0 3 11 235
Robust forecasting of dynamic conditional correlation GARCH models 0 2 5 42 0 3 9 140
Stochastic volatility in asset prices estimation with simulated maximum likelihood 0 1 3 701 3 5 13 1,292
The Impact of Risk Cycles on Business Cycles: A Historical View 0 0 1 5 1 2 6 22
The emperor has no clothes: Limits to risk modelling 0 2 7 410 2 5 32 1,075
The impact of risk regulation on price dynamics 0 0 2 217 0 4 7 508
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 1 1 1 356
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 0 0 76 0 0 1 195
Value-at-Risk and Extreme Returns 0 1 8 70 1 4 23 238
Total Journal Articles 2 17 73 4,835 21 81 271 13,677


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Brexit and the implications for financial services 0 0 1 29 2 3 4 125
Central banks, macro-financial stability and the future of the financial system 0 2 9 24 1 5 24 65
Total Books 0 2 10 53 3 8 28 190


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Currency Crises, (Hidden) Linkages and Volume 0 0 0 0 0 0 0 1
Endogenous and Systemic Risk 0 0 0 89 0 4 7 217
Total Chapters 0 0 0 89 0 4 7 218


Statistics updated 2025-08-05