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 0 0 1 1,520 1 3 14 3,369
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 systemic risk 0 1 2 21 1 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 1 3 143 1 2 12 505
Balance sheet capacity and endogenous risk 0 0 0 46 1 3 7 181
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 1 795 1 1 3 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 21 0 0 0 31
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
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 1 5 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 0 0 0 288 0 0 1 748
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 1 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 7 0 0 2 46
Equilibrium asset pricing with systemic risk 0 0 0 3 0 0 1 56
Extreme Returns, Tail Estimation, and Value-at-Risk 0 1 1 1,620 0 1 3 3,881
Feedback trading 0 0 0 9 0 1 1 56
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 2 8 41
Incentives for Effective Risk Management 0 0 0 400 0 0 1 920
Learning from History: Volatility and Financial Crises 0 0 2 87 0 0 8 163
Learning from history: volatility and financial crises 0 0 0 0 0 0 1 1
Learning from history: volatility and financial crises 0 0 1 79 1 1 2 115
Learning from history: volatility and financial crises 0 0 1 7 0 0 1 32
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 5 48
Market resilience 0 0 0 0 0 0 0 1
Model Risk of Risk Models 1 1 3 125 1 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 1 1 2 53
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 1 1 4 417
On the use of artificial intelligence in financial regulations and the impact on financial stability 0 0 3 17 0 2 10 28
On time-scaling of risk and the square–root–of–time rule 1 1 1 22 1 1 1 115
On time-scaling of risk and the square–root–of–time rule 0 0 3 799 1 10 25 3,349
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 0 0 1 1
Regime switches in the volatility and correlation of financial institutions 0 0 1 102 0 0 5 193
Risk Appetite and Endogenous Risk 0 1 4 453 1 3 13 1,091
Risk Model-at-Risk 0 0 0 0 0 0 0 39
Risk models-at-risk 0 0 0 0 0 1 1 19
Risk models-at-risk 0 0 0 1 1 1 1 60
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 7 22 1,229
Subadditivity re–examined: the case for value-at-risk 0 0 4 16 0 2 8 111
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 2 29 0 2 10 96
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 9 1 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 0 1 3 454
The Emperor has no Clothes: Limits to Risk Modelling 0 0 0 735 0 0 10 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 26 0 1 4 44
The impact of risk cycles on business cycles: a historical view 0 0 1 29 0 1 3 8
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 0 0 2 1,804
Using a bootstrap method to choose the sample fraction in tail index estimation 0 0 0 25 1 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 1 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 0 1 6 90
Total Working Papers 2 7 57 13,325 18 60 277 36,992
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 1 1 1 665
Artificial intelligence and systemic risk 1 3 9 25 8 16 43 107
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 1 353
Blame the models 1 2 12 193 1 4 16 450
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 0 1 22 0 1 5 77
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 0 0 0 211
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 2 2 48 0 3 7 257
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 1 2 6 75
Fat tails, VaR and subadditivity 0 0 3 137 0 4 9 528
Feedback trading This paper is also available at www.riskresearch.org 0 0 1 41 0 0 2 235
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 0 0 142 1 2 2 439
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 2 5 42 0 3 12 171
Lessons from a collapse of a financial system 0 0 1 13 0 4 8 320
Liquidity determination in an order-driven market 1 1 3 34 2 3 6 95
Model risk of risk models 0 1 3 72 0 3 9 313
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 0 0 2 317 1 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 efficacy of financial regulations 0 0 0 39 1 3 5 118
On time-scaling of risk and the square-root-of-time rule 0 0 0 274 2 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 0 0 0 542
Regulating hedge funds 0 0 0 20 0 0 1 104
Risk models-at-risk 1 1 3 64 2 4 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 1 1 3 701 1 2 11 1,289
The Impact of Risk Cycles on Business Cycles: A Historical View 0 0 1 5 0 1 6 21
The emperor has no clothes: Limits to risk modelling 1 2 7 410 1 5 32 1,073
The impact of risk regulation on price dynamics 0 0 2 217 3 4 7 508
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 0 0 1 355
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 3 8 70 1 6 23 237
Total Journal Articles 6 20 73 4,831 26 82 260 13,652


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 1 1 2 123
Central banks, macro-financial stability and the future of the financial system 1 2 10 24 2 4 26 64
Total Books 1 2 11 53 3 5 28 187


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 1 5 7 217
Total Chapters 0 0 0 89 1 5 7 218


Statistics updated 2025-07-04