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 0 359 0 1 2 719
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 3 1,522 2 2 14 3,374
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 0 1 121 0 0 3 328
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 2 5 5 25 8 13 19 29
Artificial intelligence and financial crises 0 6 6 6 5 12 12 12
Artificial intelligence and systemic risk 0 0 2 21 2 4 8 58
Asset Price Dynamics with Value-at-Risk Constrained Traders 0 0 0 157 0 0 1 458
Asset price dynamics with value-at-risk constrained traders 0 0 0 0 1 3 3 3
Balance Sheet Capacity and Endogenous Risk 0 1 2 144 4 8 13 514
Balance sheet capacity and endogenous risk 0 0 0 46 0 0 4 181
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 1 1 4 2,047
Beyond the sample: extreme quantile and probability estimation 0 0 0 0 2 3 4 5
Brexit and systemic risk 0 0 0 10 1 3 4 28
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 0 1 1 2 2
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 21 1 1 1 32
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 2 2 5 51
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 0 3 37
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 2 2 6 816
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 1 4 38
Consistent Measures of Risk 0 0 1 289 0 3 7 754
Consistent measures of risk 0 0 0 4 4 4 4 50
Cryptocurrencies: policy, economics and fairness 0 0 1 1 1 1 3 4
Designating market maker behaviour in Limit Order Book markets 0 0 0 10 0 0 2 35
Designating market maker behaviour in limit order book markets 0 0 0 6 1 2 6 35
Equilibrium Asset Pricing with Systemic Risk 0 0 0 203 0 2 3 578
Equilibrium asset pricing with systemic risk 0 0 0 3 0 1 2 57
Equilibrium asset pricing with systemic risk 0 0 0 7 1 2 3 48
Extreme Returns, Tail Estimation, and Value-at-Risk 2 2 3 1,622 3 3 6 3,884
Feedback trading 0 0 0 9 0 0 2 57
Financial volatility and economic growth, 1870-2016 1 1 2 4 2 3 4 12
How global risk perceptions affect economic growth 1 1 1 16 1 1 7 45
Incentives for Effective Risk Management 0 0 0 400 0 0 1 921
Learning from History: Volatility and Financial Crises 0 0 1 87 1 2 9 167
Learning from history: volatility and financial crises 0 0 1 79 1 3 5 118
Learning from history: volatility and financial crises 0 0 2 8 1 1 4 35
Learning from history: volatility and financial crises 0 0 0 0 1 1 4 4
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 1 4 7 52
Market resilience 0 0 0 0 0 0 0 1
Model Risk of Risk Models 0 0 2 125 1 1 3 144
Model risk of risk models 0 0 1 42 5 8 13 86
Model risk of risk models 0 0 0 46 2 3 3 89
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 0 0 0 42 1 1 1 183
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 1 1 1 3 54
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 0 0 3 417
On the use of artificial intelligence in financial regulations and the impact on financial stability 1 1 3 18 4 8 16 38
On time-scaling of risk and the square–root–of–time rule 0 2 3 24 2 6 7 121
On time-scaling of risk and the square–root–of–time rule 0 1 4 800 2 5 22 3,355
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 0 0 2 658
Political challenges of the macroprudential agenda 0 0 0 7 1 2 4 21
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 0 0 0 501 4 5 5 1,806
Real trading patterns and prices in spot foreign exchange markets 0 0 0 0 1 3 5 5
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 3 4 7 197
Risk Appetite and Endogenous Risk 0 1 3 454 4 8 17 1,101
Risk Model-at-Risk 0 0 0 0 0 0 0 39
Risk models-at-risk 0 0 0 1 1 2 4 63
Risk models–at–risk 1 1 1 46 1 1 3 126
Subadditivity Re–Examined: the Case for Value-at-Risk 0 0 4 441 2 5 19 1,236
Subadditivity re–examined: the case for value-at-risk 0 0 4 17 1 2 10 115
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 2 30 5 11 21 109
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 9 2 3 5 684
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 8 459
The Emperor has no Clothes: Limits to Risk Modelling 0 0 0 735 0 0 1 1,827
The fatal flaw in macropru: it ignores political risk 0 0 0 3 0 1 2 15
The impact of risk cycles on business cycles: a historical view 0 0 1 29 0 0 4 9
The impact of risk cycles on business cycles: a historical view 0 0 1 26 1 3 8 49
The impact of risk regulation on price dynamics 0 0 0 20 1 1 1 95
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 3 4 7 1,810
Using a bootstrap method to choose the sample fraction in tail index estimation 0 1 1 26 5 7 8 155
Value-at-Risk and Extreme Returns 0 0 2 1,310 1 3 6 3,043
Value-at-risk and extreme returns 0 0 0 0 1 1 2 4
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 0 0 212 0 4 5 652
What happens when you regulate risk?: evidence from a simple equilibrium model 0 0 0 8 1 1 1 40
Why macropru can end up being procyclical 0 0 0 4 1 1 2 25
Why risk is so hard to measure 0 1 2 33 0 1 6 92
Total Working Papers 8 24 68 13,375 107 197 429 37,241
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 0 2 666
Artificial intelligence and systemic risk 3 9 18 36 9 24 64 138
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 1 4 356
Blame the models 0 0 10 193 2 3 16 453
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 0 1 22 2 4 10 82
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 1 2 3 214
Countercyclical Capital and Currency Dependence 0 0 0 1 0 0 0 1
Designating market maker behaviour in limit order book markets 0 0 0 5 1 3 4 34
Endogenous Extreme Events and the Dual Role of Prices 0 0 2 48 1 2 8 260
Equilibrium asset pricing with systemic risk 0 0 0 94 0 1 2 234
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 0 0 0 623 0 1 1 1,260
Exchange rate determination and inter-market order flow effects 0 0 2 19 0 0 5 75
Fat tails, VaR and subadditivity 0 0 3 138 0 0 13 533
Feedback trading This paper is also available at www.riskresearch.org 0 1 1 42 1 2 2 237
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 0 0 142 0 1 3 440
Foreword 0 0 0 0 0 0 0 1
Foreword 0 0 0 0 1 1 1 1
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 0 247 1 2 3 685
Incentives for effective risk management 0 0 0 104 0 0 0 321
Learning from History: Volatility and Financial Crises 0 0 4 42 4 6 15 178
Lessons from a collapse of a financial system 0 0 0 13 0 2 7 322
Liquidity determination in an order-driven market 0 0 1 34 2 2 6 97
Model risk of risk models 0 0 1 72 0 1 10 318
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 0 0 1 317 1 2 5 785
ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY 0 0 0 17 0 2 2 103
On the Feasibility of Risk Based Regulation 0 0 0 4 0 0 0 21
On the Role of Regulatory Banking Capital 0 0 1 1 0 1 2 3
On the efficacy of financial regulations 0 0 0 39 2 4 9 123
On time-scaling of risk and the square-root-of-time rule 0 1 1 275 0 2 14 912
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 0 1 2 200
Real trading patterns and prices in spot foreign exchange markets 0 0 0 207 0 1 5 547
Regulating hedge funds 0 0 0 20 1 1 1 105
Risk models-at-risk 0 0 3 64 1 3 12 238
Robust forecasting of dynamic conditional correlation GARCH models 0 1 4 43 1 4 9 144
Stochastic volatility in asset prices estimation with simulated maximum likelihood 0 1 3 702 0 2 8 1,294
The Impact of Risk Cycles on Business Cycles: A Historical View 0 0 0 5 4 6 11 29
The emperor has no clothes: Limits to risk modelling 0 1 4 411 0 2 19 1,077
The impact of risk regulation on price dynamics 0 0 1 217 2 3 9 512
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 1 1 2 357
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 1 1 77 3 9 12 206
Value-at-Risk and Extreme Returns 3 4 8 74 5 13 28 251
Total Journal Articles 6 19 70 4,855 47 115 329 13,813

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 0 0 4 125
Central banks, macro-financial stability and the future of the financial system 1 2 8 26 4 5 23 72
Total Books 1 2 9 55 4 5 27 197

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 2 2 3
Endogenous and Systemic Risk 0 0 0 89 1 1 8 219
Total Chapters 0 0 0 89 1 3 10 222

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Statistics updated 2025-12-06