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 0 716
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 0 0 2 1,108
An Academic Response to Basel II 3 8 18 1,510 5 15 46 3,325
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 0 0 120 0 2 3 324
Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis 0 0 0 1 0 0 3 41
Asset Price Dynamics with Value-at-Risk Constrained Traders 1 1 1 157 1 2 2 455
Balance Sheet Capacity and Endogenous Risk 0 1 15 137 1 2 35 478
Balance sheet capacity and endogenous risk 0 1 4 46 2 6 20 170
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 2 528 0 0 5 1,425
Beyond the Sample: Extreme Quantile and Probability Estimation 0 1 2 794 0 5 11 2,041
Brexit and systemic risk 0 0 0 10 0 0 1 23
Can we prove a bank guilty of creating systemic risk? A minority report 0 1 1 21 0 2 2 31
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 0 1 1 46
Challenges in Implementing Worst-Case Analysis 0 0 1 26 0 0 1 32
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 2 2 2 809
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 1 2 34
Consistent Measures of Risk 0 1 1 286 0 1 3 742
Consistent measures of risk 0 1 1 4 0 1 2 45
Designating market maker behaviour in Limit Order Book markets 0 0 0 9 0 0 0 32
Designating market maker behaviour in limit order book markets 0 0 0 6 0 0 0 26
Equilibrium Asset Pricing with Systemic Risk 0 0 0 203 0 0 0 572
Equilibrium asset pricing with systemic risk 0 0 0 7 0 0 1 44
Equilibrium asset pricing with systemic risk 0 0 0 3 0 1 2 55
Extreme Returns, Tail Estimation, and Value-at-Risk 0 1 2 1,616 0 1 2 3,873
Feedback trading 0 0 0 7 0 0 1 50
How global risk perceptions affect economic growth 0 1 4 10 0 2 14 25
Incentives for Effective Risk Management 0 0 1 400 0 0 2 919
Learning from History: Volatility and Financial Crises 1 1 1 85 1 2 7 153
Learning from history: volatility and financial crises 0 0 3 6 0 1 8 29
Learning from history: volatility and financial crises 0 0 0 77 0 1 4 110
Low Risk as a Predictor of Financial Crises 0 0 0 53 0 0 1 58
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks 0 0 2 44 1 1 9 39
Model Risk of Risk Models 0 0 0 121 0 0 1 137
Model risk of risk models 0 0 0 46 0 0 0 85
Model risk of risk models 0 1 1 39 0 1 1 66
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 0 0 0 42 0 0 0 181
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 0 1 4 413
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 1 0 0 0 49
On time-scaling of risk and the square–root–of–time rule 0 1 3 786 4 9 40 3,281
On time-scaling of risk and the square–root–of–time rule 0 0 2 20 0 1 5 106
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 1 247 0 0 1 654
Political challenges of the macroprudential agenda 0 0 1 5 0 0 1 15
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 0 1 1 501 0 1 1 1,801
Regime switches in the volatility and correlation of financial institutions 0 1 2 100 0 3 6 185
Risk Appetite and Endogenous Risk 1 6 10 441 1 8 18 1,055
Risk Model-at-Risk 0 0 0 0 0 0 2 37
Risk models-at-risk 0 0 0 0 0 0 0 18
Risk models-at-risk 0 0 0 0 1 1 1 57
Risk models–at–risk 1 1 3 43 2 2 9 119
Subadditivity Re–Examined: the Case for Value-at-Risk 0 0 5 434 2 5 25 1,187
Subadditivity re–examined: the case for value-at-risk 0 0 0 11 1 2 6 97
Tail Index Estimation: Quantile-Driven Threshold Selection 0 2 4 25 4 12 22 70
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 5 0 0 1 674
Tail index estimation: quantile driven threshold selection 0 0 0 8 0 1 1 86
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 0 0 0 164 0 0 1 445
The Emperor has no Clothes: Limits to Risk Modelling 0 0 1 733 0 1 8 1,811
The fatal flaw in macropru: it ignores political risk 0 1 1 2 0 1 2 11
The impact of risk cycles on business cycles: a historical view 0 4 22 22 0 4 25 25
The impact of risk regulation on price dynamics 0 0 0 17 0 0 1 91
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 4 446 0 4 14 1,800
Using a bootstrap method to choose the sample fraction in tail index estimation 0 0 1 25 0 0 1 143
Value-at-Risk and Extreme Returns 0 0 3 1,303 0 1 13 3,029
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 0 0 211 0 0 3 642
What happens when you regulate risk?: evidence from a simple equilibrium model 0 0 0 8 0 0 3 37
Why macropru can end up being procyclical 1 1 2 4 2 3 4 19
Why risk is so hard to measure 0 0 1 30 0 1 2 81
Total Working Papers 8 37 127 13,125 30 111 414 36,337
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 1 216 0 0 3 659
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 1 352
Blame the models 2 4 8 175 3 7 21 423
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 2 5 20 1 4 10 70
Comparing downside risk measures for heavy tailed distributions 0 0 1 81 0 0 1 210
Designating market maker behaviour in limit order book markets 0 0 1 4 0 0 3 25
Endogenous Extreme Events and the Dual Role of Prices 0 0 0 42 3 10 19 232
Equilibrium asset pricing with systemic risk 0 0 1 93 0 0 1 231
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 0 0 0 623 0 0 1 1,257
Exchange rate determination and inter-market order flow effects 0 0 1 16 0 0 1 66
Fat tails, VaR and subadditivity 1 1 2 129 2 3 15 503
Feedback trading This paper is also available at www.riskresearch.org 0 0 1 40 0 1 2 232
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 0 2 140 1 5 11 430
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 4 246 0 1 7 675
Incentives for effective risk management 0 0 0 104 0 1 2 319
Learning from History: Volatility and Financial Crises 0 1 6 36 0 6 20 138
Lessons from a collapse of a financial system 0 0 1 10 2 3 11 310
Liquidity determination in an order-driven market 0 0 0 29 0 0 2 85
Model risk of risk models 0 0 0 58 2 4 13 275
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 1 1 3 312 1 2 9 770
ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY 0 0 0 17 0 0 1 101
On the Feasibility of Risk Based Regulation 0 0 1 4 0 1 6 21
On the efficacy of financial regulations 0 0 0 38 0 0 0 111
On time-scaling of risk and the square-root-of-time rule 0 1 5 271 2 10 33 878
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 53 0 0 2 195
Real trading patterns and prices in spot foreign exchange markets 1 1 6 201 1 3 12 531
Regulating hedge funds 0 0 0 18 0 0 0 99
Risk models-at-risk 0 0 4 58 3 4 11 215
Robust forecasting of dynamic conditional correlation GARCH models 1 2 4 36 1 9 13 127
Stochastic volatility in asset prices estimation with simulated maximum likelihood 1 1 7 692 1 3 17 1,263
The emperor has no clothes: Limits to risk modelling 0 0 4 399 3 6 17 1,021
The impact of risk regulation on price dynamics 0 0 1 214 1 1 8 498
The value of value at risk: statistical, financial, and regulatory considerations (summary) 1 1 1 153 1 1 2 353
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 0 0 76 0 1 7 189
Value-at-Risk and Extreme Returns 0 5 8 55 3 13 33 195
Total Journal Articles 8 20 78 4,659 31 99 315 13,059


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 2 28 0 0 5 117
Total Books 0 0 2 28 0 0 5 117


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 1 1
Endogenous and Systemic Risk 0 0 0 88 0 0 4 203
Total Chapters 0 0 0 88 0 0 5 204


Statistics updated 2023-06-05