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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 1 717
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 0 0 1 1,110
An Academic Response to Basel II 0 0 4 1,519 0 0 21 3,360
Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis 0 0 0 120 0 1 1 325
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 0 2 19 2 3 11 50
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 1 3 142 1 5 15 501
Balance sheet capacity and endogenous risk 0 0 0 46 0 1 3 177
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 0 528 0 0 2 1,427
Beyond the sample: extreme quantile and probability estimation 0 0 0 0 0 0 0 1
Brexit and systemic risk 0 0 0 10 1 1 1 24
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 21 0 0 0 31
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 37 0 0 0 46
Can we prove a bank guilty of creating systemic risk? A minority report 0 0 0 0 0 0 0 0
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 1 2 34
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 0 0 0 810
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 0 0 34
Consistent Measures of Risk 0 0 1 288 0 0 2 747
Consistent measures of risk 0 0 0 4 0 0 1 46
Cryptocurrencies: policy, economics and fairness 0 0 0 0 0 0 1 1
Designating market maker behaviour in Limit Order Book markets 0 1 1 10 0 1 1 33
Designating market maker behaviour in limit order book markets 0 0 0 6 0 1 3 29
Equilibrium Asset Pricing with Systemic Risk 0 0 0 203 0 0 0 575
Equilibrium asset pricing with systemic risk 0 0 0 3 0 0 0 55
Equilibrium asset pricing with systemic risk 0 0 0 7 0 0 1 45
Extreme Returns, Tail Estimation, and Value-at-Risk 0 0 1 1,619 0 0 2 3,878
Feedback trading 0 0 1 9 0 0 2 55
Financial volatility and economic growth, 1870-2016 0 1 2 2 1 2 6 8
How global risk perceptions affect economic growth 0 0 3 15 2 4 8 38
Incentives for Effective Risk Management 0 0 0 400 0 0 1 920
Learning from History: Volatility and Financial Crises 0 0 1 86 0 2 3 158
Learning from history: volatility and financial crises 0 0 0 6 0 0 0 31
Learning from history: volatility and financial crises 0 0 0 78 0 0 0 113
Learning from history: volatility and financial crises 0 0 0 0 0 0 0 0
Low Risk as a Predictor of Financial Crises 0 0 3 56 0 0 3 61
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks 0 0 0 45 0 0 4 45
Market resilience 0 0 0 0 0 0 0 1
Model Risk of Risk Models 1 1 1 123 1 1 3 141
Model risk of risk models 0 0 2 41 0 0 5 73
Model risk of risk models 0 0 0 46 1 1 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 0 2 51
On the impact of fundamentals, liquidity and coordination on market stability 0 0 0 154 0 0 1 414
On the use of artificial intelligence in financial regulations and the impact on financial stability 0 1 11 15 1 3 16 22
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 0 0 3 796 2 3 34 3,333
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 1 1 7 0 1 1 17
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 0 0 0 0
Regime switches in the volatility and correlation of financial institutions 0 0 1 102 1 1 4 190
Risk Appetite and Endogenous Risk 1 2 5 451 3 5 18 1,084
Risk Model-at-Risk 0 0 0 0 0 0 1 39
Risk models-at-risk 0 0 0 0 0 0 0 18
Risk models-at-risk 0 0 0 1 0 0 0 59
Risk models–at–risk 0 1 2 45 0 1 2 123
Subadditivity Re–Examined: the Case for Value-at-Risk 0 0 2 437 0 2 23 1,217
Subadditivity re–examined: the case for value-at-risk 1 1 1 13 1 1 6 105
Tail Index Estimation: Quantile-Driven Threshold Selection 0 1 2 28 1 2 11 88
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 4 9 0 0 4 679
Tail index estimation: quantile driven threshold selection 0 0 0 8 0 0 1 87
The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor 0 0 1 166 0 0 4 451
The Emperor has no Clothes: Limits to Risk Modelling 0 0 2 735 0 3 14 1,826
The fatal flaw in macropru: it ignores political risk 0 0 0 3 0 0 0 13
The impact of risk cycles on business cycles: a historical view 0 0 1 25 0 1 7 41
The impact of risk cycles on business cycles: a historical view 0 0 0 28 0 0 0 5
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 0 0 1 1,803
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 3 3 1,308 2 4 5 3,037
Value-at-risk and extreme returns 0 0 0 0 0 1 2 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 1 2 23
Why risk is so hard to measure 0 0 1 31 0 0 5 86
Total Working Papers 4 14 68 13,287 20 53 277 36,820
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 2 218 0 0 4 664
Artificial intelligence and systemic risk 0 1 7 18 1 6 24 74
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 0 352
Blame the models 0 2 7 183 0 2 13 437
Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report 0 0 1 21 0 0 2 72
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 2 5 30
Endogenous Extreme Events and the Dual Role of Prices 0 0 4 46 0 2 12 252
Equilibrium asset pricing with systemic risk 0 0 1 94 0 0 1 232
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 0 0 1 17 0 1 2 70
Fat tails, VaR and subadditivity 0 0 4 135 0 0 8 520
Feedback trading This paper is also available at www.riskresearch.org 0 0 1 41 0 1 3 235
Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 0 0 1 142 0 0 3 437
Highwaymen or heroes: Should hedge funds be regulated?: A survey 0 0 1 247 0 0 5 682
Incentives for effective risk management 0 0 0 104 0 0 1 321
Learning from History: Volatility and Financial Crises 1 1 1 38 4 4 17 163
Lessons from a collapse of a financial system 1 1 2 13 1 2 4 315
Liquidity determination in an order-driven market 0 0 2 33 0 0 3 91
Model risk of risk models 0 1 8 71 0 2 21 308
Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models 0 1 2 316 0 3 8 780
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 1 39 0 1 3 114
On time-scaling of risk and the square-root-of-time rule 0 0 1 274 0 2 9 898
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 1 54 0 0 1 198
Real trading patterns and prices in spot foreign exchange markets 0 0 0 207 0 0 3 542
Regulating hedge funds 0 0 2 20 1 1 5 104
Risk models-at-risk 0 0 2 61 0 1 7 226
Robust forecasting of dynamic conditional correlation GARCH models 1 2 3 39 1 2 8 135
Stochastic volatility in asset prices estimation with simulated maximum likelihood 0 1 4 699 1 7 15 1,286
The Impact of Risk Cycles on Business Cycles: A Historical View 0 0 3 5 0 1 13 18
The emperor has no clothes: Limits to risk modelling 0 4 6 407 0 14 32 1,058
The impact of risk regulation on price dynamics 0 1 1 216 0 2 3 503
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 0 0 4 194
Value-at-Risk and Extreme Returns 1 4 7 66 2 7 15 223
Total Journal Articles 4 19 77 4,784 12 63 255 13,481


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 1 2 13 18 3 6 38 49
Total Books 1 2 13 46 3 6 41 170


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 0 0 4 211
Total Chapters 0 0 1 89 0 0 4 212


Statistics updated 2024-12-04