Access Statistics for Jon Danielsson

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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 0 358 0 0 2 711
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 0 0 6 1,106
An Academic Response to Basel II 3 5 22 1,472 8 16 70 3,189
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 0 0 119 0 0 4 318
Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis 0 0 0 0 0 0 5 35
Asset Price Dynamics with Value-at-Risk Constrained Traders 0 0 1 154 0 1 7 445
Balance Sheet Capacity and Endogenous Risk 0 1 11 112 2 5 36 404
Balance sheet capacity and endogenous risk 0 1 6 37 1 5 22 113
Beyond the Sample: Extreme Quantile and Probability Estimation 0 1 3 790 0 5 19 2,018
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 1 524 1 2 8 1,411
Brexit and systemic risk 0 0 0 10 0 0 4 18
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 1 19 0 1 10 25
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 0 2 7 42
Challenges in Implementing Worst-Case Analysis 0 0 2 24 0 1 13 25
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 0 1 8 803
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 0 1 29
Consistent Measures of Risk 0 0 0 284 0 1 8 731
Consistent measures of risk 0 0 0 3 0 0 4 38
Designating market maker behaviour in Limit Order Book markets 0 0 1 9 0 0 5 26
Designating market maker behaviour in limit order book markets 0 0 1 6 0 2 7 18
Equilibrium Asset Pricing with Systemic Risk 0 1 1 203 2 4 14 569
Equilibrium asset pricing with systemic risk 0 0 0 3 0 0 11 50
Equilibrium asset pricing with systemic risk 0 0 0 7 0 0 5 39
Extreme Returns, Tail Estimation, and Value-at-Risk 0 0 2 1,613 1 2 16 3,856
Feedback trading 0 0 1 7 0 2 15 39
Highwaymen or heroes: should hedge funds be regulated? 0 0 1 5 0 0 3 32
Incentives for Effective Risk Management 0 0 0 399 0 0 6 911
Learning from History: Volatility and Financial Crises 0 0 4 83 2 3 22 123
Learning from history: volatility and financial crises 0 0 2 2 2 2 9 9
Learning from history: volatility and financial crises 0 0 1 75 2 2 17 96
Low Risk as a Predictor of Financial Crises 1 2 4 49 1 2 9 49
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks 0 0 2 40 0 1 9 22
Model Risk of Risk Models 0 0 1 119 0 1 8 125
Model risk of risk models 1 1 1 34 1 2 11 46
Model risk of risk models 0 0 0 46 0 1 7 78
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 0 0 0 42 0 2 6 179
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 1 0 1 7 47
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 1 3 9 402
On time-scaling of risk and the square–root–of–time rule 1 1 6 15 1 2 21 86
On time-scaling of risk and the square–root–of–time rule 0 0 12 775 8 19 85 3,151
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 245 1 1 9 650
Political challenges of the macroprudential agenda 0 0 1 4 0 0 3 8
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 0 1 2 500 0 2 8 1,797
Regime switches in the volatility and correlation of financial institutions 0 0 1 97 0 0 5 168
Risk Appetite and Endogenous Risk 0 3 26 406 5 14 79 975
Risk Model-at-Risk 0 0 0 0 0 0 5 19
Risk model-at-risk 0 0 0 0 1 2 13 43
Risk models-at-risk 0 0 0 0 1 2 8 8
Risk models-at-risk 0 0 0 0 2 4 14 46
Risk models–at–risk 1 1 1 37 2 3 11 87
Subadditivity Re–Examined: the Case for Value-at-Risk 0 0 4 419 5 10 30 1,103
Subadditivity re–examined: the case for value-at-risk 0 0 1 9 0 0 11 79
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 1 19 1 6 21 28
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 2 4 3 4 8 663
Tail index estimation: quantile driven threshold selection 0 0 1 8 0 1 5 77
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 0 0 2 164 0 0 4 440
The Emperor has no Clothes: Limits to Risk Modelling 0 1 3 722 1 3 12 1,770
The fatal flaw in macropru: it ignores political risk 0 0 1 1 0 0 4 7
The impact of risk regulation on price dynamics 0 0 0 17 1 2 9 76
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 441 0 2 12 1,774
Using a bootstrap method to choose the sample fraction in tail index estimation 0 0 2 24 0 1 11 132
Value-at-Risk and Extreme Returns 2 2 10 1,291 2 7 37 2,975
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 0 0 210 1 2 10 635
What happens when you regulate risk?: evidence from a simple equilibrium model 0 0 0 8 0 2 7 28
Why macropru can end up being procyclical 0 0 1 2 0 0 6 11
Why risk is so hard to measure 0 0 0 19 0 5 12 83
Why risk is so hard to measure 0 0 2 27 0 0 9 71
Total Working Papers 9 21 148 12,873 59 164 899 35,167

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 2 212 0 1 6 649
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 5 347
Blame the models 0 0 3 156 0 1 10 377
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 0 2 11 0 1 12 40
Comparing downside risk measures for heavy tailed distributions 0 1 1 79 0 1 4 204
Designating market maker behaviour in limit order book markets 0 0 1 3 0 1 8 17
Endogenous Extreme Events and the Dual Role of Prices 0 1 5 34 2 4 25 148
Equilibrium asset pricing with systemic risk 0 0 1 92 0 0 8 222
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 0 0 2 622 0 3 14 1,250
Exchange rate determination and inter-market order flow effects 0 0 0 14 0 0 1 61
Fat tails, VaR and subadditivity 1 1 7 114 2 6 36 455
Feedback trading This paper is also available at www.riskresearch.org 0 0 0 38 0 1 11 226
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 0 0 134 2 2 9 404
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 2 241 0 1 9 652
Incentives for effective risk management 0 0 0 104 1 1 9 314
Learning from History: Volatility and Financial Crises 2 2 5 19 4 10 26 69
Lessons from a collapse of a financial system 0 0 0 0 3 7 18 277
Liquidity determination in an order-driven market 0 1 3 22 0 1 8 72
Model risk of risk models 2 3 9 50 3 8 44 221
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 0 0 3 306 1 1 12 754
ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY 0 0 0 15 0 1 8 95
On the Feasibility of Risk Based Regulation 0 0 0 3 0 0 1 13
On the efficacy of financial regulations 0 0 3 32 0 2 9 93
On time-scaling of risk and the square-root-of-time rule 0 3 12 249 2 7 42 786
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 53 0 0 1 189
Real trading patterns and prices in spot foreign exchange markets 0 1 2 189 0 3 12 497
Regulating hedge funds 0 0 0 16 2 4 11 95
Risk models-at-risk 1 2 7 44 5 9 31 168
Robust forecasting of dynamic conditional correlation GARCH models 0 0 3 29 0 1 7 102
Stochastic volatility in asset prices estimation with simulated maximum likelihood 2 3 7 671 4 8 20 1,217
The emperor has no clothes: Limits to risk modelling 1 6 12 380 4 14 34 926
The impact of risk regulation on price dynamics 0 0 3 206 2 3 20 458
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 152 0 0 1 349
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 1 1 4 74 1 3 14 172
Value-at-Risk and Extreme Returns 1 2 11 32 3 8 37 124
Total Journal Articles 11 27 110 4,396 41 113 523 12,043

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 1 4 23 3 6 26 95
Total Books 0 1 4 23 3 6 26 95

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Endogenous and Systemic Risk 0 1 1 87 3 5 12 185
Total Chapters 0 1 1 87 3 5 12 185

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Statistics updated 2021-01-03