Jon Danielsson

London School of Economics - Systemic Risk Centre

Houghton Street

London WC2A 2AE

United Kingdom

http://www.riskreasearch.org

SCHOLARLY PAPERS

27

DOWNLOADS
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SSRN RANKINGS

Top 3,800

in Total Papers Downloads

14,755

SSRN CITATIONS
Rank 7,249

SSRN RANKINGS

Top 7,249

in Total Papers Citations

80

CROSSREF CITATIONS

100

Scholarly Papers (27)

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 2,062 (11,015)
Citation 29

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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 1,852 (13,087)
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 1,708 (14,885)
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 1,368 (20,777)
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 1,282 (22,916)
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 973 (34,163)
Citation 50

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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 641 (59,776)
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 546 (73,277)
Citation 15

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9.

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 491 (83,481)
Citation 20

Abstract:

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General equilibrium; Value-at-risk; Risk regulation

10.

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 490 (83,655)
Citation 7

Abstract:

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value-at-risk, general equilibrium, financial 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 440 (94,983)
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 436 (96,038)
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 410 (103,127)
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 332 (130,518)
Citation 12

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 325 (133,480)
Citation 6

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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: 52 Posted: 01 Feb 2021 Last Revised: 27 Apr 2021
Systemic Risk Centre - London School of Economics, 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 294 (148,283)

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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 Barbaraaffiliation not provided to SSRN and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 270 (161,748)
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 269 (162,351)
Citation 11

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Hill estimator, Heavy tails, Optimal extreme sample fraction

19.

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 Barbaraaffiliation not provided to SSRN, London School of Economics - Systemic Risk Centre and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 181 (234,969)

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Limit Order Book, liquidity, resilience, GLM, GAMLSS

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

Number of pages: 64 Posted: 16 Oct 2020 Last Revised: 28 Aug 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 89 (400,428)

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Stock market volatility, uncertainty, monetary policy independence, financial instability, risk-taking, global financial cycles

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

International Finance Discussion Paper No. 1358
Number of pages: 51 Posted: 27 Sep 2022
Jon Danielsson, Ilknur Zer and Marcela Valenzuela
London School of Economics - Systemic Risk Centre, Board of Governors of the Federal Reserve System and Pontificia Universidad Católica de Chile
Downloads 24 (713,558)

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

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 102 (364,145)
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 65 (472,802)
Citation 1

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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 64 (476,545)

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

24.

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 41 (577,852)

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25.

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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26.

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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27.

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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