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 2 718
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 2 1,519 3 5 17 3,365
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 1 1 121 0 1 2 326
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 systemic risk 0 1 2 20 0 2 11 52
Asset Price Dynamics with Value-at-Risk Constrained Traders 0 0 0 157 0 0 0 457
Asset price dynamics with value-at-risk constrained traders 0 0 0 0 0 0 0 0
Balance Sheet Capacity and Endogenous Risk 0 0 2 142 0 1 11 502
Balance sheet capacity and endogenous risk 0 0 0 46 0 1 4 178
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 0 0 2 1,427
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 1 795 0 0 1 2,043
Beyond the sample: extreme quantile and probability estimation 0 0 0 0 0 0 0 1
Brexit and systemic risk 0 0 0 10 0 1 2 25
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 0 0 0 0 0
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 2 2 2 48
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 21 0 0 0 31
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 2 4 36
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 1 2 2 812
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 1 1 1 35
Consistent Measures of Risk 0 0 1 288 0 0 1 747
Consistent measures of risk 0 0 0 4 0 0 1 46
Cryptocurrencies: policy, economics and fairness 1 1 1 1 1 2 2 3
Designating market maker behaviour in Limit Order Book markets 0 0 1 10 0 2 3 35
Designating market maker behaviour in limit order book markets 0 0 0 6 0 2 5 31
Equilibrium Asset Pricing with Systemic Risk 0 0 0 203 0 1 1 576
Equilibrium asset pricing with systemic risk 0 0 0 3 0 1 1 56
Equilibrium asset pricing with systemic risk 0 0 0 7 0 1 2 46
Extreme Returns, Tail Estimation, and Value-at-Risk 0 0 0 1,619 2 2 3 3,880
Feedback trading 0 0 0 9 0 0 0 55
Financial volatility and economic growth, 1870-2016 0 1 3 3 0 1 5 9
How global risk perceptions affect economic growth 0 0 2 15 1 1 8 39
Incentives for Effective Risk Management 0 0 0 400 0 0 1 920
Learning from History: Volatility and Financial Crises 0 0 1 86 1 4 7 162
Learning from history: volatility and financial crises 0 1 1 79 0 1 1 114
Learning from history: volatility and financial crises 0 1 1 7 0 1 1 32
Learning from history: volatility and financial crises 0 0 0 0 0 1 1 1
Low Risk as a Predictor of Financial Crises 0 2 5 58 1 3 6 64
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks 0 0 0 45 2 2 6 47
Market resilience 0 0 0 0 0 0 0 1
Model Risk of Risk Models 0 1 2 124 0 1 4 142
Model risk of risk models 0 1 2 42 0 3 7 76
Model risk of risk models 0 0 0 46 0 0 1 86
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 0 0 0 42 0 0 0 182
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 1 0 1 3 52
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 2 2 3 416
On the use of artificial intelligence in financial regulations and the impact on financial stability 1 2 5 17 2 4 10 26
On time-scaling of risk and the square–root–of–time rule 0 0 1 21 0 0 2 114
On time-scaling of risk and the square–root–of–time rule 2 2 4 798 3 5 32 3,338
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 1 249 0 0 1 656
Political challenges of the macroprudential agenda 0 0 1 7 1 1 2 18
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 0 0 0 501 0 0 0 1,801
Real trading patterns and prices in spot foreign exchange markets 0 0 0 0 1 1 1 1
Regime switches in the volatility and correlation of financial institutions 0 0 1 102 2 3 7 193
Risk Appetite and Endogenous Risk 0 1 3 452 1 3 16 1,087
Risk Model-at-Risk 0 0 0 0 0 0 1 39
Risk models-at-risk 0 0 0 1 0 0 0 59
Risk models-at-risk 0 0 0 0 0 0 0 18
Risk models–at–risk 0 0 2 45 1 1 3 124
Subadditivity Re–Examined: the Case for Value-at-Risk 1 2 4 439 2 4 26 1,221
Subadditivity re–examined: the case for value-at-risk 2 2 3 15 2 3 9 108
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 1 28 2 4 11 92
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 3 9 1 1 4 680
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 1 2 3 453
The Emperor has no Clothes: Limits to Risk Modelling 0 0 2 735 0 1 14 1,827
The fatal flaw in macropru: it ignores political risk 0 0 0 3 1 1 1 14
The impact of risk cycles on business cycles: a historical view 0 1 1 29 0 2 2 7
The impact of risk cycles on business cycles: a historical view 1 1 2 26 1 2 7 43
The impact of risk regulation on price dynamics 0 0 0 20 0 0 0 94
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 1 1 2 1,804
Using a bootstrap method to choose the sample fraction in tail index estimation 0 0 0 25 0 0 1 147
Value-at-Risk and Extreme Returns 1 2 5 1,310 1 3 7 3,040
Value-at-risk and extreme returns 0 0 0 0 0 0 1 2
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 0 0 212 0 0 1 647
What happens when you regulate risk?: evidence from a simple equilibrium model 0 0 0 8 0 0 2 39
Why macropru can end up being procyclical 0 0 0 4 0 0 2 23
Why risk is so hard to measure 1 1 2 32 2 3 6 89
Total Working Papers 10 24 69 13,311 42 96 308 36,916
1 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 1 218 0 0 2 664
Artificial intelligence and systemic risk 1 2 7 20 3 12 29 86
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 1 353
Blame the models 2 8 13 191 2 8 17 445
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 1 1 2 22 3 4 6 76
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 0 0 0 211
Designating market maker behaviour in limit order book markets 0 0 1 5 1 1 6 31
Endogenous Extreme Events and the Dual Role of Prices 0 0 4 46 0 1 12 253
Equilibrium asset pricing with systemic risk 0 0 0 94 1 1 1 233
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 0 0 0 623 0 0 0 1,259
Exchange rate determination and inter-market order flow effects 1 2 3 19 1 2 4 72
Fat tails, VaR and subadditivity 1 2 6 137 2 4 10 524
Feedback trading This paper is also available at www.riskresearch.org 0 0 1 41 0 0 2 235
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 0 1 142 0 0 2 437
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 1 247 0 0 4 682
Incentives for effective risk management 0 0 0 104 0 0 0 321
Learning from History: Volatility and Financial Crises 0 1 2 39 0 4 14 167
Lessons from a collapse of a financial system 0 0 2 13 0 1 5 316
Liquidity determination in an order-driven market 0 0 2 33 0 0 2 91
Model risk of risk models 0 0 7 71 1 1 18 309
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 0 1 2 317 0 1 8 781
ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY 0 0 0 17 0 0 0 101
On the Feasibility of Risk Based Regulation 0 0 0 4 0 0 0 21
On the efficacy of financial regulations 0 0 0 39 0 0 1 114
On time-scaling of risk and the square-root-of-time rule 0 0 0 274 2 4 10 902
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 1 54 0 1 2 199
Real trading patterns and prices in spot foreign exchange markets 0 0 0 207 0 0 1 542
Regulating hedge funds 0 0 1 20 0 0 4 104
Risk models-at-risk 0 0 2 61 1 3 9 229
Robust forecasting of dynamic conditional correlation GARCH models 0 1 4 40 0 2 7 137
Stochastic volatility in asset prices estimation with simulated maximum likelihood 0 0 3 699 0 0 12 1,286
The Impact of Risk Cycles on Business Cycles: A Historical View 0 0 2 5 0 1 8 19
The emperor has no clothes: Limits to risk modelling 0 1 7 408 2 10 37 1,068
The impact of risk regulation on price dynamics 0 1 2 217 0 1 3 504
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 0 0 1 355
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 0 0 76 1 1 2 195
Value-at-Risk and Extreme Returns 0 1 6 67 3 8 21 231
Total Journal Articles 6 21 83 4,805 23 72 261 13,553

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 28 0 0 3 121
Central banks, macro-financial stability and the future of the financial system 0 4 14 22 2 10 37 59
Total Books 0 4 14 50 2 10 40 180

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 0 1
Endogenous and Systemic Risk 0 0 1 89 1 1 5 212
Total Chapters 0 0 1 89 1 1 5 213

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Statistics updated 2025-03-03