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 0 6 724
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 0 1 6 1,116
An Academic Response to Basel II 0 1 3 1,523 2 3 17 3,383
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 0 0 121 3 5 12 338
Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis 0 0 0 1 4 4 7 48
Artificial intelligence and financial crises 0 0 7 7 4 8 29 29
Artificial intelligence and financial crises 0 1 8 28 2 8 37 52
Artificial intelligence and systemic risk 1 1 2 22 5 8 18 70
Asset Price Dynamics with Value-at-Risk Constrained Traders 0 0 0 157 1 3 21 478
Asset price dynamics with value-at-risk constrained traders 0 0 0 0 1 9 16 16
Balance Sheet Capacity and Endogenous Risk 0 0 1 144 0 0 21 525
Balance sheet capacity and endogenous risk 0 0 1 47 2 4 16 196
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 1 2 7 1,434
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 2 3 17 2,061
Beyond the sample: extreme quantile and probability estimation 0 0 0 0 0 1 10 11
Brexit and systemic risk 0 0 0 10 1 2 6 31
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 21 3 3 4 35
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 0 2 4 8 9
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 0 0 13 61
Challenges in Implementing Worst-Case Analysis 0 0 0 26 5 5 11 47
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 2 4 12 824
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 1 6 41
Consistent Measures of Risk 0 0 1 289 4 5 18 766
Consistent measures of risk 0 0 0 4 4 6 13 59
Cryptocurrencies: policy, economics and fairness 0 0 0 1 5 7 11 14
Designating market maker behaviour in Limit Order Book markets 0 0 0 10 1 3 10 45
Designating market maker behaviour in limit order book markets 0 0 0 6 1 1 7 39
Equilibrium Asset Pricing with Systemic Risk 0 0 0 203 2 3 10 586
Equilibrium asset pricing with systemic risk 0 0 0 7 1 5 12 58
Equilibrium asset pricing with systemic risk 0 0 0 3 2 5 9 65
Extreme Returns, Tail Estimation, and Value-at-Risk 0 0 3 1,622 1 2 10 3,890
Feedback trading 0 0 0 9 2 3 9 65
Financial volatility and economic growth, 1870-2016 0 0 1 4 0 0 5 14
How global risk perceptions affect economic growth 1 1 2 17 1 1 9 49
Incentives for Effective Risk Management 0 0 0 400 2 3 7 927
Learning from History: Volatility and Financial Crises 0 0 0 87 0 2 10 173
Learning from history: volatility and financial crises 0 0 0 79 2 7 15 129
Learning from history: volatility and financial crises 0 0 0 0 1 6 11 12
Learning from history: volatility and financial crises 0 0 1 8 0 1 10 42
Low Risk as a Predictor of Financial Crises 0 0 0 59 2 3 10 75
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks 0 0 0 45 0 1 13 60
Market resilience 0 0 0 0 1 3 8 9
Model Risk of Risk Models 0 0 1 125 4 5 15 157
Model risk of risk models 0 0 0 46 0 2 7 93
Model risk of risk models 0 0 0 42 6 11 29 105
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability 0 0 0 42 0 5 7 189
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 0 1 5 421
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 1 1 5 11 63
On the use of artificial intelligence in financial regulations and the impact on financial stability 0 0 2 19 2 6 24 51
On time-scaling of risk and the square–root–of–time rule 0 0 4 25 2 5 15 129
On time-scaling of risk and the square–root–of–time rule 0 0 1 800 6 13 33 3,378
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 1 2 12 668
Political challenges of the macroprudential agenda 0 0 0 7 3 3 9 27
Real Trading Patterns and Prices in Spot Foreign Exchange Markets 0 0 0 501 1 2 11 1,812
Real trading patterns and prices in spot foreign exchange markets 0 0 0 0 1 3 11 12
Regime switches in the volatility and correlation of financial institutions 0 0 0 102 4 6 17 210
Risk Appetite and Endogenous Risk 0 2 3 456 5 11 28 1,118
Risk Model-at-Risk 0 0 0 0 1 1 6 45
Risk models-at-risk 0 0 0 1 1 3 10 69
Risk models–at–risk 0 0 1 46 1 2 7 132
Subadditivity Re–Examined: the Case for Value-at-Risk 0 1 3 443 6 9 25 1,250
Subadditivity re–examined: the case for value-at-risk 0 0 1 17 4 5 13 123
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 1 30 4 7 24 119
Tail Index and Quantile Estimation with Very High Frequency Data 0 1 1 10 1 3 11 691
Tail index estimation: quantile driven threshold selection 0 0 0 8 1 2 6 93
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 0 0 0 166 1 1 12 465
The Emperor has no Clothes: Limits to Risk Modelling 0 0 0 735 2 2 6 1,833
The fatal flaw in macropru: it ignores political risk 0 0 0 3 4 4 7 21
The impact of risk cycles on business cycles: a historical view 0 0 0 29 3 4 8 15
The impact of risk cycles on business cycles: a historical view 1 1 1 27 8 11 22 65
The impact of risk regulation on price dynamics 0 0 0 20 0 2 6 100
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 4 4 18 1,822
Using a bootstrap method to choose the sample fraction in tail index estimation 1 1 3 28 5 6 18 165
Value-at-Risk and Extreme Returns 1 1 1 1,311 2 7 12 3,052
Value-at-risk and extreme returns 0 0 0 0 1 2 8 10
What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model 0 0 0 212 3 3 12 659
What happens when you regulate risk?: evidence from a simple equilibrium model 0 0 0 8 2 3 4 43
Why macropru can end up being procyclical 0 0 0 4 2 2 6 30
Why risk is so hard to measure 0 0 1 33 1 1 11 100
Total Working Papers 5 11 54 13,394 165 309 993 37,941
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 2 7 671
Artificial intelligence and systemic risk 2 7 26 48 16 45 108 202
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 1 10 363
Blame the models 0 1 3 195 1 9 19 467
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 0 0 22 5 5 16 93
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 1 2 11 222
Countercyclical Capital and Currency Dependence 0 0 0 1 3 3 7 8
Designating market maker behaviour in limit order book markets 0 0 0 5 3 5 11 42
Endogenous Extreme Events and the Dual Role of Prices 0 0 2 49 0 5 18 273
Equilibrium asset pricing with systemic risk 0 0 0 94 1 3 8 241
Estimation of the Stochastic Volatility Models by Simulated Maximum Likelihood: C++ Code 0 0 0 623 1 3 4 1,263
Exchange rate determination and inter-market order flow effects 0 0 0 19 3 3 9 83
Fat tails, VaR and subadditivity 0 1 2 139 5 10 24 549
Feedback trading This paper is also available at www.riskresearch.org 0 0 1 42 0 1 5 240
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 0 0 142 0 0 7 444
Foreword 0 0 0 0 1 2 5 5
Foreword 0 0 0 0 1 2 5 6
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 0 247 1 1 10 692
Incentives for effective risk management 0 0 0 104 1 2 6 327
Learning from History: Volatility and Financial Crises 0 0 2 43 4 5 21 190
Lessons from a collapse of a financial system 0 0 0 13 2 4 11 331
Liquidity determination in an order-driven market 0 0 1 34 4 6 12 105
Model risk of risk models 0 0 1 73 5 7 27 339
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 0 0 1 318 5 6 25 806
ON THE IMPACT OF FUNDAMENTALS, LIQUIDITY, AND COORDINATION ON MARKET STABILITY 0 0 0 17 3 4 12 113
On the Feasibility of Risk Based Regulation 0 0 0 4 2 3 4 25
On the Role of Regulatory Banking Capital 0 0 1 1 2 2 8 9
On the efficacy of financial regulations 0 0 1 40 3 6 18 133
On time-scaling of risk and the square-root-of-time rule 0 0 3 277 4 8 25 928
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 2 5 11 210
Real trading patterns and prices in spot foreign exchange markets 0 0 0 207 1 2 15 557
Regulating hedge funds 0 0 0 20 1 4 12 116
Risk models-at-risk 0 0 1 64 6 8 20 252
Robust forecasting of dynamic conditional correlation GARCH models 0 1 4 44 5 10 24 161
Stochastic volatility in asset prices estimation with simulated maximum likelihood 0 0 3 703 0 1 9 1,296
The Impact of Risk Cycles on Business Cycles: A Historical View 0 0 0 5 2 3 13 33
The emperor has no clothes: Limits to risk modelling 1 2 7 415 3 18 32 1,102
The impact of risk regulation on price dynamics 0 0 0 217 1 4 22 526
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 1 3 8 363
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 0 1 77 4 5 29 224
Value-at-Risk and Extreme Returns 0 2 8 77 4 9 37 271
Total Journal Articles 3 14 68 4,886 107 227 685 14,281

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 3 3 11 133
Central banks, macro-financial stability and the future of the financial system 0 2 7 29 1 4 26 86
Total Books 0 2 7 58 4 7 37 219

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 2 2 8 9
Endogenous and Systemic Risk 0 0 2 91 2 6 17 230
Total Chapters 0 0 2 91 4 8 25 239

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Statistics updated 2026-05-06