Jon Danielsson

London School of Economics - Systemic Risk Centre

Houghton Street

London WC2A 2AE

United Kingdom

http://www.riskreasearch.org

SCHOLARLY PAPERS

26

DOWNLOADS
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15,607

SSRN CITATIONS
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SSRN RANKINGS

Top 7,668

in Total Papers Citations

101

CROSSREF CITATIONS

92

Scholarly Papers (26)

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 2,123 (11,853)
Citation 32

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

2.

Artificial Intelligence and Systemic Risk

Journal of Banking and Finance, Forthcoming
Number of pages: 26 Posted: 28 Jun 2019 Last Revised: 17 Aug 2021
Jon Danielsson, Robert Macrae and Andreas Uthemann
London School of Economics - Systemic Risk Centre, affiliation not provided to SSRN and Bank of Canada
Downloads 2,006 (12,980)
Citation 2

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Artificial intelligence, systemic risk

3.

Learning from History: Volatility and Financial Crises

FEDS Working Paper No. 2016-93, FEDS Working Paper No. 2016-093
Number of pages: 47 Posted: 21 Nov 2016 Last Revised: 03 Mar 2018
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 1,753 (16,051)
Citation 15

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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 1,442 (21,648)
Citation 7

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

5.

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, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 1,354 (23,755)
Citation 23

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

6.

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 (BIS) and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 1,032 (35,301)
Citation 49

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Liquidity, Endogenous Risk, Financial Crises

7.

Cryptocurrencies: Policy, Economics and Fairness

Systemic Risk Centre Discussion Paper 86, 2018
Number of pages: 33 Posted: 07 Nov 2018 Last Revised: 15 Jul 2019
Jon Danielsson
London School of Economics - Systemic Risk Centre
Downloads 722 (57,554)
Citation 3

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cryptocurrencies, systemic risk, money

8.

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

Number of pages: 37 Posted: 11 Jul 2001
Jon Danielsson and Richard Payne
London School of Economics - Systemic Risk Centre and City University London - The Business School
Downloads 563 (79,093)

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9.

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 (BIS)
Downloads 510 (89,442)
Citation 7

Abstract:

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value-at-risk, general equilibrium, financial regulation

10.

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 503 (91,063)
Citation 20

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General equilibrium; Value-at-risk; Risk regulation

11.

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

Number of pages: 35 Posted: 06 Aug 2003
Jon Danielsson and Burak Saltoglu
London School of Economics - Systemic Risk Centre and Marmara University
Downloads 453 (103,073)
Citation 9

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order flow model, financial crisis, institution identity, Turkey

12.

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 affiliation not provided to SSRN
Downloads 452 (103,348)
Citation 3

Abstract:

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capital regulation

13.

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
Ghent University, London School of Economics - Systemic Risk Centre, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 433 (108,802)
Citation 16

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14.

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 Sébastien Laurent
Ghent University, London School of Economics - Systemic Risk Centre and AMSE
Downloads 345 (140,682)
Citation 14

Abstract:

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15.

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, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 344 (141,100)
Citation 7

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Systemic risk, macroprudential policy, financial stability, risk management

16.

The Calming of Short-Term Market Fears and Its Long-Term Consequences: The Central Banks’ Dilemma

Number of pages: 37 Posted: 01 Feb 2021 Last Revised: 22 Jan 2023
Systemic Risk Centre - London School of Economics, London School of Economics - Systemic Risk Centre, Bank of Canada, Bank of Canada and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 307 (159,292)

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Fed, COVID-19, FX Swap

17.

Market Resilience

Number of pages: 51 Posted: 11 May 2018
London School of Economics - Systemic Risk Centre, University College London - Financial Computing and Analytics Group, Department of Computer Science, University of California Santa Barbara and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 303 (161,444)
Citation 3

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Liquidity Measures, Resilience, Limit Order Book, Liquidity Provision, Optimal Trade Execution

18.

Tail Index Estimation: Quantile Driven Threshold Selection

Number of pages: 74 Posted: 18 Jan 2016
London School of Economics - Systemic Risk Centre, Bank of Canada, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 302 (161,992)
Citation 14

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Hill estimator, Heavy tails, Optimal extreme sample fraction

19.

The Impact of Risk Cycles on Business Cycles: A Historical View

International Finance Discussion Paper No. 1358 , Review of Financial Studies, Forthcoming
Number of pages: 51 Posted: 27 Sep 2022
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System
Downloads 194 (249,379)

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Stock market volatility, Uncertainty, Monetary policy independence, Financial instability, Risk-taking, Global financial cycles

20.

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, University of California Santa Barbara, London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 194 (249,379)
Citation 2

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

21.

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 112 (388,099)
Citation 1

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

22.

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

IMF Working Paper No. 18/197
Number of pages: 80 Posted: 16 Oct 2018
London School of Economics & Political Science - Department of Finance, London School of Economics - Systemic Risk Centre, International Monetary Fund (IMF), International Monetary Fund (IMF), International Monetary Fund (IMF) - Monetary and Financial Systems Department and International Monetary Fund (IMF)
Downloads 83 (472,801)
Citation 2

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Financial crises, Systemic risk, Macroprudential Policy, Financial stability, Stress testing, Macroprudential Stress testing, Asset Pricing, Financial Markets and the Macroeconomy, Bayesian Analysis, Semiparametric and Nonparametric Methods, Cross-Sectional Models, Model Evaluation and Testing, Financial Econometrics

23.

Challenges in Implementing Worst-Case Analysis

Number of pages: 8 Posted: 15 Mar 2017
London School of Economics - Systemic Risk Centre, Bank of Canada and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 77 (493,954)

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

24.

Low Risk as a Predictor of Financial Crises

FEDS Notes No. 2018-05-09
Posted: 06 Jun 2018 Last Revised: 25 Jun 2020
Jon Danielsson, Marcela Valenzuela and Ilknur Zer
London School of Economics - Systemic Risk Centre, Pontificia Universidad Católica de Chile and Board of Governors of the Federal Reserve System

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25.

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 (BIS) and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

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26.

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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