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 3 5 6 724
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 1 5 5 1,115
An Academic Response to Basel II 0 0 3 1,522 3 8 18 3,380
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 0 0 121 2 5 7 333
Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis 0 0 0 1 2 3 3 44
Artificial intelligence and financial crises 1 1 7 7 5 14 21 21
Artificial intelligence and financial crises 1 4 7 27 9 23 32 44
Artificial intelligence and systemic risk 0 0 1 21 2 6 10 62
Asset Price Dynamics with Value-at-Risk Constrained Traders 0 0 0 157 17 17 18 475
Asset price dynamics with value-at-risk constrained traders 0 0 0 0 3 5 7 7
Balance Sheet Capacity and Endogenous Risk 0 0 2 144 6 15 23 525
Balance sheet capacity and endogenous risk 1 1 1 47 6 11 14 192
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 3 5 5 1,432
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 7 12 15 2,058
Beyond the sample: extreme quantile and probability estimation 0 0 0 0 3 7 9 10
Brexit and systemic risk 0 0 0 10 1 2 4 29
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 0 2 4 5 5
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 8 12 15 61
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 21 0 1 1 32
Challenges in Implementing Worst-Case Analysis 0 0 0 26 1 5 6 42
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 3 6 9 820
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 2 6 40
Consistent Measures of Risk 0 0 1 289 3 7 14 761
Consistent measures of risk 0 0 0 4 2 7 7 53
Cryptocurrencies: policy, economics and fairness 0 0 1 1 2 4 5 7
Designating market maker behaviour in Limit Order Book markets 0 0 0 10 5 7 7 42
Designating market maker behaviour in limit order book markets 0 0 0 6 1 4 7 38
Equilibrium Asset Pricing with Systemic Risk 0 0 0 203 4 5 7 583
Equilibrium asset pricing with systemic risk 0 0 0 7 2 6 7 53
Equilibrium asset pricing with systemic risk 0 0 0 3 3 3 4 60
Extreme Returns, Tail Estimation, and Value-at-Risk 0 2 3 1,622 3 7 10 3,888
Feedback trading 0 0 0 9 0 5 7 62
Financial volatility and economic growth, 1870-2016 0 1 1 4 2 4 5 14
How global risk perceptions affect economic growth 0 1 1 16 2 4 10 48
Incentives for Effective Risk Management 0 0 0 400 1 3 4 924
Learning from History: Volatility and Financial Crises 0 0 1 87 3 5 10 171
Learning from history: volatility and financial crises 0 0 0 79 4 5 8 122
Learning from history: volatility and financial crises 0 0 0 0 2 3 5 6
Learning from history: volatility and financial crises 0 0 1 8 3 7 9 41
Low Risk as a Predictor of Financial Crises 0 0 1 59 5 7 9 72
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks 0 0 0 45 3 8 14 59
Market resilience 0 0 0 0 3 5 5 6
Model Risk of Risk Models 0 0 1 125 8 9 10 152
Model risk of risk models 0 0 0 42 6 13 18 94
Model risk of risk models 0 0 0 46 2 4 5 91
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 0 0 0 42 0 2 2 184
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 2 3 6 420
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 1 3 5 6 58
On the use of artificial intelligence in financial regulations and the impact on financial stability 0 2 3 19 3 11 21 45
On time-scaling of risk and the square–root–of–time rule 0 0 4 800 5 12 30 3,365
On time-scaling of risk and the square–root–of–time rule 1 1 4 25 3 5 10 124
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 6 8 10 666
Political challenges of the macroprudential agenda 0 0 0 7 3 4 7 24
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 0 0 0 501 3 8 9 1,810
Real trading patterns and prices in spot foreign exchange markets 0 0 0 0 3 5 9 9
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 3 10 13 204
Risk Appetite and Endogenous Risk 0 0 2 454 4 10 21 1,107
Risk Model-at-Risk 0 0 0 0 4 5 5 44
Risk models-at-risk 0 0 0 1 3 4 7 66
Risk models–at–risk 0 1 1 46 4 5 7 130
Subadditivity Re–Examined: the Case for Value-at-Risk 1 1 4 442 4 7 22 1,241
Subadditivity re–examined: the case for value-at-risk 0 0 4 17 2 4 12 118
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 2 30 0 8 22 112
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 9 3 6 9 688
Tail index estimation: quantile driven threshold selection 0 0 0 8 2 4 4 91
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 0 0 0 166 5 5 12 464
The Emperor has no Clothes: Limits to Risk Modelling 0 0 0 735 2 4 4 1,831
The fatal flaw in macropru: it ignores political risk 0 0 0 3 2 2 4 17
The impact of risk cycles on business cycles: a historical view 0 0 1 26 3 6 12 54
The impact of risk cycles on business cycles: a historical view 0 0 0 29 0 2 4 11
The impact of risk regulation on price dynamics 0 0 0 20 2 4 4 98
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 4 11 15 1,818
Using a bootstrap method to choose the sample fraction in tail index estimation 0 1 2 27 1 9 12 159
Value-at-Risk and Extreme Returns 0 0 1 1,310 1 3 6 3,045
Value-at-risk and extreme returns 0 0 0 0 1 5 6 8
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 0 0 212 2 4 9 656
What happens when you regulate risk?: evidence from a simple equilibrium model 0 0 0 8 0 1 1 40
Why macropru can end up being procyclical 0 0 0 4 2 4 5 28
Why risk is so hard to measure 0 0 2 33 4 7 12 99
Total Working Papers 5 16 62 13,383 245 498 764 37,632
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 2 3 5 669
Artificial intelligence and systemic risk 2 8 22 41 8 28 74 157
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 5 7 9 362
Blame the models 1 1 5 194 3 7 15 458
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 0 1 22 4 8 15 88
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 5 7 9 220
Countercyclical Capital and Currency Dependence 0 0 0 1 1 4 4 5
Designating market maker behaviour in limit order book markets 0 0 0 5 1 4 7 37
Endogenous Extreme Events and the Dual Role of Prices 1 1 3 49 7 9 15 268
Equilibrium asset pricing with systemic risk 0 0 0 94 2 4 6 238
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 0 0 0 623 0 0 1 1,260
Exchange rate determination and inter-market order flow effects 0 0 1 19 4 5 9 80
Fat tails, VaR and subadditivity 0 0 2 138 3 6 17 539
Feedback trading This paper is also available at www.riskresearch.org 0 0 1 42 1 3 4 239
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 0 0 142 2 4 7 444
Foreword 0 0 0 0 1 3 3 3
Foreword 0 0 0 0 3 3 3 4
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 0 247 2 7 9 691
Incentives for effective risk management 0 0 0 104 1 4 4 325
Learning from History: Volatility and Financial Crises 1 1 4 43 3 11 18 185
Lessons from a collapse of a financial system 0 0 0 13 3 5 11 327
Liquidity determination in an order-driven market 0 0 1 34 2 4 8 99
Model risk of risk models 1 1 2 73 7 14 24 332
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 1 1 1 318 8 16 19 800
ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY 0 0 0 17 3 6 8 109
On the Feasibility of Risk Based Regulation 0 0 0 4 0 1 1 22
On the Role of Regulatory Banking Capital 0 0 1 1 4 4 6 7
On the efficacy of financial regulations 0 1 1 40 2 6 13 127
On time-scaling of risk and the square-root-of-time rule 1 2 3 277 5 8 20 920
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 5 5 6 205
Real trading patterns and prices in spot foreign exchange markets 0 0 0 207 1 8 13 555
Regulating hedge funds 0 0 0 20 4 8 8 112
Risk models-at-risk 0 0 3 64 5 7 16 244
Robust forecasting of dynamic conditional correlation GARCH models 0 0 3 43 3 8 14 151
Stochastic volatility in asset prices estimation with simulated maximum likelihood 0 1 4 703 0 1 9 1,295
The Impact of Risk Cycles on Business Cycles: A Historical View 0 0 0 5 0 5 11 30
The emperor has no clothes: Limits to risk modelling 1 2 5 413 3 7 18 1,084
The impact of risk regulation on price dynamics 0 0 0 217 9 12 18 522
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 3 4 5 360
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 0 1 77 8 16 25 219
Value-at-Risk and Extreme Returns 0 4 8 75 7 16 34 262
Total Journal Articles 9 23 72 4,872 140 288 521 14,054

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 4 5 9 130
Central banks, macro-financial stability and the future of the financial system 1 2 5 27 8 14 25 82
Total Books 1 2 6 56 12 19 34 212

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 4 4 6 7
Endogenous and Systemic Risk 1 2 2 91 4 6 13 224
Total Chapters 1 2 2 91 8 10 19 231

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Statistics updated 2026-02-12