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 7 725
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 0 0 6 1,116
An Academic Response to Basel II 0 0 1 1,523 0 0 12 3,384
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 0 0 121 0 0 12 340
Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis 0 0 0 1 0 1 8 49
Artificial intelligence and financial crises 0 0 8 28 5 5 42 58
Artificial intelligence and financial crises 0 0 8 8 4 7 38 38
Artificial intelligence and systemic risk 0 1 2 23 2 6 24 78
Asset Price Dynamics with Value-at-Risk Constrained Traders 0 0 0 157 0 0 20 478
Asset price dynamics with value-at-risk constrained traders 0 0 0 0 0 0 16 16
Balance Sheet Capacity and Endogenous Risk 0 0 1 144 0 2 22 528
Balance sheet capacity and endogenous risk 0 0 2 48 1 1 18 199
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 0 0 7 1,434
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 0 2 17 2,063
Beyond the sample: extreme quantile and probability estimation 0 0 0 0 0 0 9 11
Brexit and systemic risk 0 0 0 10 0 0 6 31
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 0 2 3 11 12
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 21 2 4 9 40
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 1 6 20 69
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 0 10 47
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 1 1 11 825
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 0 5 42
Consistent Measures of Risk 0 0 0 289 1 2 19 770
Consistent measures of risk 0 0 1 5 1 1 16 62
Cryptocurrencies: policy, economics and fairness 0 0 0 1 0 0 11 14
Designating market maker behaviour in Limit Order Book markets 0 0 0 10 2 3 15 50
Designating market maker behaviour in limit order book markets 0 0 0 6 0 0 6 39
Equilibrium Asset Pricing with Systemic Risk 0 0 0 203 0 1 12 588
Equilibrium asset pricing with systemic risk 0 0 0 7 0 0 12 58
Equilibrium asset pricing with systemic risk 0 0 0 3 1 2 12 68
Extreme Returns, Tail Estimation, and Value-at-Risk 0 0 2 1,622 0 0 9 3,890
Feedback trading 0 0 0 9 0 1 9 66
Financial volatility and economic growth, 1870-2016 0 0 1 4 0 0 5 14
How global risk perceptions affect economic growth 0 0 2 17 0 0 5 49
Incentives for Effective Risk Management 0 0 0 400 0 0 6 927
Learning from History: Volatility and Financial Crises 0 0 0 87 1 1 10 175
Learning from history: volatility and financial crises 0 0 0 0 2 3 12 15
Learning from history: volatility and financial crises 0 0 0 8 1 1 9 43
Learning from history: volatility and financial crises 0 0 0 79 2 4 22 137
Low Risk as a Predictor of Financial Crises 0 0 0 59 0 0 10 75
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks 0 0 0 45 2 3 15 63
Market resilience 0 0 0 0 0 0 8 9
Model Risk of Risk Models 0 0 0 125 0 1 15 158
Model risk of risk models 0 0 0 42 0 0 28 106
Model risk of risk models 0 1 1 47 0 2 9 95
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 0 0 0 42 0 0 7 189
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 1 0 0 11 64
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 0 0 6 423
On the use of artificial intelligence in financial regulations and the impact on financial stability 0 0 2 19 1 2 25 55
On time-scaling of risk and the square–root–of–time rule 0 0 2 801 0 1 33 3,383
On time-scaling of risk and the square–root–of–time rule 1 1 4 26 2 5 20 135
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 0 0 10 668
Political challenges of the macroprudential agenda 0 0 0 7 0 0 8 27
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 0 0 0 501 0 0 11 1,812
Real trading patterns and prices in spot foreign exchange markets 0 0 0 0 1 1 11 13
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 0 0 20 213
Risk Appetite and Endogenous Risk 0 2 5 458 2 6 34 1,127
Risk Model-at-Risk 0 0 0 0 0 0 6 45
Risk models-at-risk 0 0 0 1 2 2 10 71
Risk models–at–risk 0 0 1 46 0 2 11 136
Subadditivity Re–Examined: the Case for Value-at-Risk 0 1 3 444 0 3 22 1,253
Subadditivity re–examined: the case for value-at-risk 0 0 0 17 0 1 12 125
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 0 30 2 4 27 125
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 1 10 0 0 10 691
Tail index estimation: quantile driven threshold selection 0 1 1 9 0 2 8 95
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 1 1 1 167 1 3 11 469
The Emperor has no Clothes: Limits to Risk Modelling 0 0 0 735 0 0 7 1,834
The fatal flaw in macropru: it ignores political risk 0 0 0 3 0 1 9 23
The impact of risk cycles on business cycles: a historical view 0 0 0 29 1 2 8 17
The impact of risk cycles on business cycles: a historical view 0 0 1 27 1 2 24 70
The impact of risk regulation on price dynamics 0 0 0 20 0 0 6 100
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 1 1 17 1,823
Using a bootstrap method to choose the sample fraction in tail index estimation 0 1 4 29 1 2 19 167
Value-at-Risk and Extreme Returns 0 0 1 1,311 0 0 13 3,053
Value-at-risk and extreme returns 0 0 0 0 0 1 8 11
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 0 0 212 0 1 12 660
What happens when you regulate risk?: evidence from a simple equilibrium model 0 0 0 8 1 1 5 44
Why macropru can end up being procyclical 0 0 0 4 0 0 6 30
Why risk is so hard to measure 0 0 1 33 0 0 10 101
Total Working Papers 2 9 56 13,407 47 106 1,062 38,106
2 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 6 672
Artificial intelligence and systemic risk 3 5 28 55 9 26 130 244
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 9 364
Blame the models 0 0 2 195 0 1 20 470
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 1 1 23 2 4 19 97
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 0 1 13 225
Countercyclical Capital and Currency Dependence 0 0 0 1 0 1 8 9
Designating market maker behaviour in limit order book markets 0 0 0 5 0 0 12 43
Endogenous Extreme Events and the Dual Role of Prices 0 0 1 49 1 3 18 276
Equilibrium asset pricing with systemic risk 0 0 0 94 0 0 8 241
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 0 0 1 624 0 0 5 1,264
Exchange rate determination and inter-market order flow effects 0 0 0 19 0 1 9 84
Fat tails, VaR and subadditivity 0 1 2 140 1 4 22 555
Feedback trading This paper is also available at www.riskresearch.org 0 0 1 42 0 1 6 241
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 1 1 143 0 1 6 445
Foreword 0 0 0 0 0 0 5 6
Foreword 0 0 0 0 2 2 7 7
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 0 247 0 1 12 695
Incentives for effective risk management 0 0 0 104 0 0 6 327
Learning from History: Volatility and Financial Crises 0 0 1 43 0 5 24 196
Lessons from a collapse of a financial system 0 0 0 13 0 1 12 332
Liquidity determination in an order-driven market 0 1 1 35 1 2 12 107
Model risk of risk models 0 0 2 74 0 5 28 345
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 0 1 2 319 0 1 25 808
ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY 0 0 0 17 0 0 12 113
On the Feasibility of Risk Based Regulation 0 0 0 4 1 1 7 28
On the Role of Regulatory Banking Capital 0 0 0 1 0 1 8 10
On the efficacy of financial regulations 0 0 1 40 1 1 15 134
On time-scaling of risk and the square-root-of-time rule 1 3 6 280 4 8 31 941
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 1 1 12 211
Real trading patterns and prices in spot foreign exchange markets 0 0 0 207 0 1 12 558
Regulating hedge funds 0 0 0 20 0 2 15 119
Risk models-at-risk 1 1 1 65 1 5 24 259
Robust forecasting of dynamic conditional correlation GARCH models 0 1 3 45 0 4 25 165
Stochastic volatility in asset prices estimation with simulated maximum likelihood 0 0 2 703 0 1 8 1,300
The Impact of Risk Cycles on Business Cycles: A Historical View 0 0 0 5 1 2 13 36
The emperor has no clothes: Limits to risk modelling 0 0 5 415 1 4 33 1,108
The impact of risk regulation on price dynamics 0 1 1 218 1 3 20 529
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 0 0 8 364
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 1 2 3 79 1 4 32 229
Value-at-Risk and Extreme Returns 0 1 8 78 3 7 40 278
Total Journal Articles 6 19 73 4,909 31 107 737 14,435

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 0 29 0 0 9 134
Central banks, macro-financial stability and the future of the financial system 0 1 6 30 1 3 24 91
Total Books 0 1 6 59 1 3 33 225

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 8 9
Endogenous and Systemic Risk 0 0 3 92 1 1 15 233
Total Chapters 0 0 3 92 1 1 23 242

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Statistics updated 2026-09-10