Jon Danielsson

London School of Economics - Systemic Risk Centre

Houghton Street

London WC2A 2AE

United Kingdom

http://www.riskreasearch.org

SCHOLARLY PAPERS

21

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CITATIONS
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70

Scholarly Papers (21)

1.

On Time-Scaling of Risk and the Square-Root-Of-Time Rule

EFA 2004 Maastricht Meetings Paper No. 5339
Number of pages: 25 Posted: 23 Jul 2004
Jon Danielsson and Jean-Pierre Zigrand
London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 1,457 (8,022)
Citation 10

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Square-root-of-time rule, time-scaling of risk, value-at-risk, systemic risk, risk regulation, jump diffusions

2.

Model Risk of Risk Models

Journal of Financial Stability, Forthcoming, FEDS Working Paper No. 2014-34
Number of pages: 33 Posted: 18 Apr 2014 Last Revised: 01 Jun 2017
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) - Systemic Risk Centre, University of Chile and Federal Reserve Board
Downloads 969 (18,853)
Citation 3

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Value-at-Risk, systemic risk, CoVaR, MES, financial stability, Basel III

3.

Learning from History: Volatility and Financial Crises

FEDS Working Paper No. 2016-093
Number of pages: 46 Posted: 21 Nov 2016
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, University of Chile and Federal Reserve Board
Downloads 909 (20,758)

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Stock market volatility, Financial crises predictability, Volatility paradox, Minsky hypothesis, Financial instability, Risk-taking

4.

Why Risk Is So Hard to Measure

De Nederlandsche Bank Working Paper No. 494
Number of pages: 29 Posted: 23 Apr 2015 Last Revised: 01 Jul 2016
Jon Danielsson and Chen Zhou
London School of Economics - Systemic Risk Centre and De Nederlandsche Bank
Downloads 820 (24,127)

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Value-at-Risk, expected shortfall, finite sample properties, Basel III

5.

Procyclical Leverage and Endogenous Risk

Number of pages: 43 Posted: 17 Mar 2009 Last Revised: 05 Oct 2012
Jon Danielsson, Hyun Song Shin and Jean-Pierre Zigrand
London School of Economics - Systemic Risk Centre, Bank for International Settlements and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 706 (25,059)
Citation 21

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Liquidity, Endogenous Risk, Financial Crises

6.

Measuring and Explaining Liquidity on an Electronic Limit Order Book: Evidence from Reuters D2000-2

EFA 2001 Barcelona Meetings
Number of pages: 37 Posted: 11 Jul 2001
Jon Danielsson and Richard Payne
London School of Economics - Systemic Risk Centre and City University London - Sir John Cass Business School
Downloads 430 (49,419)
Citation 11

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7.

Asset Price Dynamics with Value-at-Risk Constrained Traders

London School of Economics Financial Markets Group Discussion Paper No. 394; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 25 Posted: 12 Mar 2002
Jon Danielsson, Jean-Pierre Zigrand and Hyun Song Shin
London School of Economics - Systemic Risk Centre, London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group and Bank for International Settlements
Downloads 412 (55,023)
Citation 6

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value-at-risk, general equilibrium, financial regulation

8.

What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model

Number of pages: 42 Posted: 13 Nov 2001
Jon Danielsson and Jean-Pierre Zigrand
London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 399 (55,750)
Citation 10

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General equilibrium; Value-at-risk; Risk regulation

9.

The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 2 Posted: 16 Nov 2007
Jon Danielsson, Casper G. de Vries and Bjorn Jorgensen
London School of Economics - Systemic Risk Centre, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and London School of Economics & Political Science (LSE) - Department of Accounting and Finance
Downloads 379 (61,027)

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capital regulation

10.

Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis

EFA 2003 Annual Conference Paper No. 965
Number of pages: 35 Posted: 06 Aug 2003
Jon Danielsson and Burak Saltoglu
London School of Economics - Systemic Risk Centre and Marmara University
Downloads 371 (62,160)

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order flow model, financial crisis, institution identity, Turkey

11.

Robust Forecasting of Dynamic Conditional Correlation GARCH Models

International Journal of Forecasting 29, 244-257
Number of pages: 37 Posted: 30 Nov 2010 Last Revised: 30 Aug 2013
Kris Boudt, Jon Danielsson and S├ębastien Laurent
Vrije Universiteit Brussel (VUB), London School of Economics - Systemic Risk Centre and French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM)
Downloads 292 (88,777)
Citation 3

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12.

Regime Switches in the Volatility and Correlation of Financial Institutions

National Bank of Belgium Working Paper No. 227
Number of pages: 54 Posted: 13 Oct 2012
Kris Boudt, Jon Danielsson, Siem Jan Koopman and Andre Lucas
Vrije Universiteit Brussel (VUB), London School of Economics - Systemic Risk Centre, Vrije Universiteit Amsterdam - School of Business and Economics and VU Amsterdam - School of Business and Economics
Downloads 213 (81,480)
Citation 1

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13.

Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 27 Posted: 19 Nov 2015 Last Revised: 16 Feb 2016
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) - Systemic Risk Centre, University of Chile and Federal Reserve Board
Downloads 195 (133,765)

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Systemic risk, macroprudential policy, financial stability, risk management

14.

On the Impact of Fundamentals, Liquidity and Coordination on Market Stability

Number of pages: 34 Posted: 25 Jul 2007
Francisco Penaranda and Jon Danielsson
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and London School of Economics - Systemic Risk Centre
Downloads 68 (248,422)

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Carry trades, currency crises, efficient method of moments, global games

15.

Countercyclical Capital and Currency Dependence

Financial Markets, Institutions & Instruments, Vol. 14, No. 5, pp. 329-348, December 2005
Number of pages: 20 Posted: 03 Jan 2006
Jon Danielsson and Asgeir Jonsson
London School of Economics - Systemic Risk Centre and University of Iceland - Faculty of Economics and Business Administration
Downloads 40 (367,248)
Citation 2
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16.

Designating Market Maker Behaviour in Limit Order Book Markets

Number of pages: 36 Posted: 19 Aug 2015
University College London - Financial Computing and Analytics Group, Department of Computer Science, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 34 (208,270)

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

17.

Lessons from a Collapse of a Financial System

Economic Policy, Vol. 26, Issue 66, pp. 183-231, 2011
Number of pages: 49 Posted: 04 Apr 2011
Board of Governors of the Federal Reserve System, London School of Economics - Systemic Risk Centre and Birkbeck College
Downloads 4 (534,567)
Citation 3
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18.

Challenges in Implementing Worst-Case Analysis

Number of pages: 8 Posted: 15 Mar 2017
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 0 (367,248)

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Worst-case analysis, EVT, quantile estimator, risk management

19.

Tail Index Estimation: Quantile Driven Threshold Selection

Number of pages: 74 Posted: 18 Jan 2016
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 0 (263,379)

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Hill estimator, Heavy tails, Optimal extreme sample fraction

20.

Endogenous Extreme Events and the Dual Role of Prices

Annual Review of Economics, Vol. 4, pp. 111-129, 2012
Posted: 01 Sep 2012
Jon Danielsson, Hyun Song Shin and Jean-Pierre Zigrand
London School of Economics - Systemic Risk Centre, Bank for International Settlements and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

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21.

Tail Index and Quantile Estimation with Very High Frequency Data

WP #116
Posted: 08 Jan 1997
Casper G. de Vries and Jon Danielsson
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and London School of Economics - Systemic Risk Centre

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