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 1 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 3 1,523 0 3 15 3,384
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 0 0 121 0 5 13 340
Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis 0 0 0 1 1 5 8 49
Artificial intelligence and financial crises 0 1 8 8 1 7 32 32
Artificial intelligence and financial crises 0 0 8 28 0 3 38 53
Artificial intelligence and systemic risk 1 2 2 23 2 9 20 74
Asset Price Dynamics with Value-at-Risk Constrained Traders 0 0 0 157 0 1 21 478
Asset price dynamics with value-at-risk constrained traders 0 0 0 0 0 1 16 16
Balance Sheet Capacity and Endogenous Risk 0 0 1 144 0 1 21 526
Balance sheet capacity and endogenous risk 0 1 2 48 0 4 17 198
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 2 4 18 2,063
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 0 1 7 1,434
Beyond the sample: extreme quantile and probability estimation 0 0 0 0 0 0 10 11
Brexit and systemic risk 0 0 0 10 0 1 6 31
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 21 1 5 6 37
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 0 0 2 8 9
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 1 3 16 64
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 5 10 47
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 0 2 11 824
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 1 7 42
Consistent Measures of Risk 0 0 1 289 1 7 21 769
Consistent measures of risk 0 1 1 5 0 6 15 61
Cryptocurrencies: policy, economics and fairness 0 0 0 1 0 5 11 14
Designating market maker behaviour in Limit Order Book markets 0 0 0 10 1 4 13 48
Designating market maker behaviour in limit order book markets 0 0 0 6 0 1 6 39
Equilibrium Asset Pricing with Systemic Risk 0 0 0 203 0 3 11 587
Equilibrium asset pricing with systemic risk 0 0 0 3 1 4 11 67
Equilibrium asset pricing with systemic risk 0 0 0 7 0 1 12 58
Extreme Returns, Tail Estimation, and Value-at-Risk 0 0 2 1,622 0 1 9 3,890
Feedback trading 0 0 0 9 1 3 10 66
Financial volatility and economic growth, 1870-2016 0 0 1 4 0 0 5 14
How global risk perceptions affect economic growth 0 1 2 17 0 1 8 49
Incentives for Effective Risk Management 0 0 0 400 0 2 7 927
Learning from History: Volatility and Financial Crises 0 0 0 87 0 1 11 174
Learning from history: volatility and financial crises 0 0 0 0 1 2 12 13
Learning from history: volatility and financial crises 0 0 1 8 0 0 10 42
Learning from history: volatility and financial crises 0 0 0 79 2 8 20 135
Low Risk as a Predictor of Financial Crises 0 0 0 59 0 2 10 75
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks 0 0 0 45 0 0 12 60
Market resilience 0 0 0 0 0 1 8 9
Model Risk of Risk Models 0 0 0 125 1 5 15 158
Model risk of risk models 0 0 0 46 1 1 8 94
Model risk of risk models 0 0 0 42 0 7 30 106
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 0 154 0 2 6 423
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 1 0 2 11 64
On the use of artificial intelligence in financial regulations and the impact on financial stability 0 0 2 19 1 5 26 54
On time-scaling of risk and the square–root–of–time rule 0 1 2 801 0 10 33 3,382
On time-scaling of risk and the square–root–of–time rule 0 0 3 25 1 4 16 131
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 0 1 12 668
Political challenges of the macroprudential agenda 0 0 0 7 0 3 9 27
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 0 0 0 501 0 1 11 1,812
Real trading patterns and prices in spot foreign exchange markets 0 0 0 0 0 1 11 12
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 0 7 20 213
Risk Appetite and Endogenous Risk 2 2 5 458 3 11 33 1,124
Risk Model-at-Risk 0 0 0 0 0 1 6 45
Risk models-at-risk 0 0 0 1 0 1 9 69
Risk models–at–risk 0 0 1 46 2 5 11 136
Subadditivity Re–Examined: the Case for Value-at-Risk 1 1 3 444 2 8 23 1,252
Subadditivity re–examined: the case for value-at-risk 0 0 1 17 1 6 14 125
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 1 30 2 8 27 123
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 1 10 0 1 10 691
Tail index estimation: quantile driven threshold selection 0 0 0 8 1 2 7 94
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 0 0 0 166 2 4 14 468
The Emperor has no Clothes: Limits to Risk Modelling 0 0 0 735 0 3 7 1,834
The fatal flaw in macropru: it ignores political risk 0 0 0 3 0 5 8 22
The impact of risk cycles on business cycles: a historical view 0 1 1 27 1 12 25 69
The impact of risk cycles on business cycles: a historical view 0 0 0 29 0 3 7 15
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 0 4 18 1,822
Using a bootstrap method to choose the sample fraction in tail index estimation 0 1 3 28 0 5 17 165
Value-at-Risk and Extreme Returns 0 1 1 1,311 0 3 13 3,053
Value-at-risk and extreme returns 0 0 0 0 1 2 8 11
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 0 0 212 1 4 13 660
What happens when you regulate risk?: evidence from a simple equilibrium model 0 0 0 8 0 2 4 43
Why macropru can end up being procyclical 0 0 0 4 0 2 6 30
Why risk is so hard to measure 0 0 1 33 0 2 11 101
Total Working Papers 4 13 57 13,402 35 259 1,047 38,035
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 1 1 7 672
Artificial intelligence and systemic risk 2 6 27 52 10 42 121 228
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 1 1 11 364
Blame the models 0 0 2 195 1 4 20 470
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 0 0 22 0 5 16 93
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 0 3 13 224
Countercyclical Capital and Currency Dependence 0 0 0 1 0 3 7 8
Designating market maker behaviour in limit order book markets 0 0 0 5 0 4 12 43
Endogenous Extreme Events and the Dual Role of Prices 0 0 1 49 0 0 16 273
Equilibrium asset pricing with systemic risk 0 0 0 94 0 1 8 241
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 0 1 1 624 0 2 5 1,264
Exchange rate determination and inter-market order flow effects 0 0 0 19 0 3 8 83
Fat tails, VaR and subadditivity 1 1 3 140 3 10 26 554
Feedback trading This paper is also available at www.riskresearch.org 0 0 1 42 0 0 5 240
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 1 1 1 143 1 1 6 445
Foreword 0 0 0 0 0 1 5 6
Foreword 0 0 0 0 0 1 5 5
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 0 247 0 3 11 694
Incentives for effective risk management 0 0 0 104 0 1 6 327
Learning from History: Volatility and Financial Crises 0 0 1 43 4 9 24 195
Lessons from a collapse of a financial system 0 0 0 13 1 3 12 332
Liquidity determination in an order-driven market 0 0 0 34 0 4 10 105
Model risk of risk models 0 1 2 74 3 9 30 343
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 1 1 2 319 1 7 25 808
ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY 0 0 0 17 0 3 12 113
On the Feasibility of Risk Based Regulation 0 0 0 4 0 4 6 27
On the Role of Regulatory Banking Capital 0 0 0 1 0 2 7 9
On the efficacy of financial regulations 0 0 1 40 0 3 15 133
On time-scaling of risk and the square-root-of-time rule 0 0 3 277 1 10 26 934
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 0 2 11 210
Real trading patterns and prices in spot foreign exchange markets 0 0 0 207 1 2 16 558
Regulating hedge funds 0 0 0 20 0 2 13 117
Risk models-at-risk 0 0 0 64 2 10 21 256
Robust forecasting of dynamic conditional correlation GARCH models 0 0 2 44 2 7 23 163
Stochastic volatility in asset prices estimation with simulated maximum likelihood 0 0 2 703 0 3 10 1,299
The Impact of Risk Cycles on Business Cycles: A Historical View 0 0 0 5 1 4 14 35
The emperor has no clothes: Limits to risk modelling 0 1 5 415 2 7 33 1,106
The impact of risk regulation on price dynamics 1 1 1 218 2 3 20 528
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 0 2 9 364
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 1 1 2 78 2 7 32 227
Value-at-Risk and Extreme Returns 0 0 7 77 1 5 35 272
Total Journal Articles 7 14 64 4,897 40 194 712 14,368

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 4 11 134
Central banks, macro-financial stability and the future of the financial system 1 1 6 30 2 5 26 90
Total Books 1 1 6 59 2 9 37 224

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 8 9
Endogenous and Systemic Risk 0 1 3 92 0 4 15 232
Total Chapters 0 1 3 92 0 6 23 241

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Statistics updated 2026-07-10