Items where Author is "Danielsson, Jon"

Number of items: 101.
Article
  • Artificial intelligence and systemic risk. (2022) Danielsson, Jon and Macrae, Robert and Uthemann, Andreas picture_as_pdf
  • Are asset managers systemically important? Danielsson, Jon and Zigrand, Jean-Pierre
  • Averting financial crisis. Chwieroth, Jeffrey and Danielsson, Jon
  • Blame the models. Danielsson, Jon
  • Brexit and systemic risk. Danielsson, Jon and Macrae, Robert and Micheler, Eva
  • Can we prove a bank guilty of creating systemic risk? A minority report. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • Comparing downside risk measures for heavy tailed distributions. Danielsson, Jon and Jorgensen, Bjorn N. and Sarma, Mandira and de Vries, Casper G
  • Cyber risk as systemic risk. Danielsson, Jon and Fouché, Morgane and Macrae, Robert
  • Designating market maker behaviour in limit order book markets. Panayi, Efstathios and Peters, Gareth W. and Danielsson, Jon and Zigrandd, Jean-Pierre picture_as_pdf
  • Endogenous extreme events and the dual role of prices. Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre
  • Equilibrium asset pricing with systemic risk. Danielsson, Jon and Zigrand, Jean-Pierre
  • Europe’s proposed capital markets union: disruption will drive investment and innovation. Danielsson, Jon and Micheler, Eva and Neugebauer, Katja and Uthemann, Andreas and Zigrand, Jean-Pierre
  • Everybody right, everybody wrong: plural rationalities in macroprudential regulation. Danielsson, Jon and Tsanakas, Andreas
  • Exchange rate determination and inter–market order flow effects. Danielsson, Jon and Luo, Jinhui and Payne, Richard
  • Fat tails, VaR and subadditivity. Danielsson, Jon and Jorgensen, Bjorn N. and Samorodnitsky, Gennady and Sarma, Mandira and de Vries, Casper G.
  • Iceland, Greece and political hectoring. Danielsson, Jon
  • Iceland’s post-Crisis economy: A myth or a miracle? Danielsson, Jon
  • Incentives for effective risk management. Danielsson, Jon and Jorgensen, Bjorn N. and de Vries, Casper G.
  • Learning from history:volatility and financial crises. Danielsson, Jon and Valenzuela, Marcela and Zer, Ilknur picture_as_pdf
  • Lessons from a collapse of a financial system. Benediktsdottir, Sigridur and Danielsson, Jon and Zoega, Gylfi
  • Liquidity determination in an order driven market. Danielsson, Jon and Pyne, Richard
  • Model risk and the implications for risk management, macroprudential policy, and financial regulations. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • Model risk of risk models. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • On the financial market consequences of Brexit. Danielsson, Jon and Macrae, Robert and Zigrand, Jean-Pierre
  • On the impact of fundamentals, liquidity, and coordination on market stability. Danielsson, Jon and Peñaranda, Francisco
  • On the role of regulatory banking capital. Benink, Harald and Danielsson, Jon and Jónsson, Ásgeir
  • On time-scaling of risk and the square-root-of-time rule. Danielsson, Jon and Zigrand, Jean-Pierre
  • Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Danielsson, Jon and Jorgensen, Bjorn N. and Vries, Casper G. and Yang, Xiaoguang
  • Political challenges of the macroprudential agenda. Chwieroth, Jeffrey and Danielsson, Jon
  • Post-crisis banking regulation:evolution of economic thinking as it happened on Vox. Danielsson, Jon
  • Real trading patterns and prices in spot inter-dealer foreign exchange markets. Danielsson, Jon and Payne, R.
  • Regulating hedge funds. Danielsson, Jon and Zigrand, Jean-Pierre
  • Risk models-at-risk. Boucher, Christophe M. and Danielsson, Jon and Kouontchou, Patrick S. and Maillet, Bertrand B.
  • Robust forecasting of dynamic conditional correlation GARCH models. Boudt, Kris and Danielsson, Jon and Laurent, Sebastien
  • Sanctions, war, and systemic risk in 1914 and 2022. Danielsson, Jon and Goodhart, C. A. E. and Macrae, Robert
  • Solvency II: three principles to respect. Danielsson, Jon and Koijen, Ralph S.J. and Laeven, Roger and Perotti, Enrico
  • Using a bootstrap method to choose the sample fraction in tail index estimation. Danielsson, Jon and de Haan, L. and Peng, L. and de Vries, C. G.
  • Value-at-risk and extreme returns. Danielsson, Jon and Vries, C. G. de
  • Volatility, financial crises and Minsky's hypothesis. Danielsson, Jon and Valenzuela, Marcela and Zer, Ilknur
  • What the Swiss FX shock says about risk models. Danielsson, Jon
  • Why Iceland can now remove capital controls. Danielsson, Jon and Kristjánsdóttir, Ásdís
  • Why it doesn't make sense to hold bonds. Csullag, Balazs and Danielsson, Jon and Macrae, Robert
  • Why macropru can end up being procyclical. Danielsson, Jon and Macrae, Robert and Tsomocos, Dimitrios P. and Zigrand, Jean-Pierre
  • Why risk is hard to measure. Danielsson, Jon and Zhou, Chen
  • The coronavirus crisis is no 2008. Danielsson, Jon and Macrae, Robert and Vayanos, Dimitri and Zigrand, Jean-Pierre
  • The emperor has no clothes: limits to risk modelling. Danielsson, Jon
  • The fatal flaw in macropru: it ignores political risk. Danielsson, Jon and Macrae, Robert
  • The impact of risk cycles on business cycles:a historical view. Danielsson, Jon and Valenzuela, Marcela and Zer, Ilknur picture_as_pdf
  • The impact of risk regulation on price dynamics. Danielsson, Jon and Shin, Hyun Song and Zigrand, Jean-Pierre
  • The macro-micro conflict. Danielsson, Jon and Fouché, Morgane and Macrae, Robert
  • The new market-risk regulations. Danielsson, Jon
  • A proposed research and policy agenda for systemic risk. Danielsson, Jon and Zigrand, Jean-Pierre
  • The value of value at risk: statistical, financial, and regulatory considerations summary of presentation. Danielsson, Jon and Jorgensen, Bjorn N. and De Vries, Casper G.
    • Audio/visual resource
  • Risk landscape:review 2020 & preview 2021. Danielsson, Jon and Giger, Peter and Joshi, Mohit and Lordan, Grace and Sanghvi, Sneha and Siddiqi, Lutfey
    • Book
  • Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab. Danielsson, Jon
  • Global financial systems: stability and risk. Danielsson, Jon
  • Post-crisis banking regulation: evolution of economic thinking as it happened on Vox. Danielsson, Jon and Bair, Sheila and Shin, Hyun Song and Borio, Claudio and Ratnovski, Lev and Boot, Arnoud and Goodhart, Charles and Zamil, Raihan and Hagendorff, Jens and Vallascas, Francesco and Gersbach, Hans and Calomiris, Charles W. and Persaud, Avinash and Atkinson, Paul E. and Blundell-Wignall, Adrian and Schmitz, Stefan W. and Laeven, Luc and Levine, Ross and Hoshi, Takeo and Bremus, Franziska and Buch, Claudia M. and Russ, Katheryn and Schnitzer, Monika and Cabellero, Ricardo and Claessens, Stijn and Pozsar, Zoltan and Singh, Manmohan and Čihák, Martin and Nier, Erlend W. and Igan, Deniz and Mishra, Prachi and Tressel, Thierry and Perotti, Enrico and Spagnolo, Giancarlo
  • The future of banking regulation: the Basel II Accord. Benink, Harald and Danielsson, Jon and Goodhart, Charles
    • Chapter
  • Endogenous risk. Danielsson, Jon and Shin, Hyun Song
  • On the (Ir)relevancy of value-at-risk regulation. Cumperayot, Phornchanok J. and Danielsson, Jon and Jorgensen, Bjorn N. and Vries, Casper G.
  • Regulation incentives for risk management in incomplete markets. Jorgensen, Bjorn N. and Danielsson, Jon and de Vries, Casper G.
  • The inter-temporal nature of risk. Danielsson, Jon and Goodhart, Charles
    • Conference or Workshop Item
  • Does risk forecasting help macroprudential policy makers? Danielsson, Jon
  • Issues in empirically modelling systemic risk. Danielsson, Jon
  • Systemic risk and financial regulations: what is the link? Danielsson, Jon
    • Online resource
  • European leaders have let their own hubris dominate their response to the Greek crisis. A total bailout of Greece would only cost the European Union 2 per cent of its GDP. Danielsson, Jon
  • Europe’s proposed capital markets union: how disruptive technologies will drive investment and innovation. Danielsson, Jon and Micheler, Eva and Neugebauer, Katja and Uthemann, Andreas and Zigrand, Jean-Pierre
  • Iceland illustrates why political ‘hectoring’ from foreign countries is bound to fail in Greece. Danielsson, Jon
  • Low volatility makes a financial crisis more likely. Danielsson, Jon and Valenzuela, Marcela and Zer, Ilknur
    • Working paper
  • Anatomy of a market crash:a market microstructure analysis of the Turkish overnight liquidity crisis. Danielsson, Jon and Saltoglu, Burak
  • Asset price dynamics with value-at-risk constrained traders. Danielsson, Jon and Shin, Hyun Song and Zigrand, Jean-Pierre picture_as_pdf
  • Balance sheet capacity and endogenous risk. Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre
  • Beyond the sample:extreme quantile and probability estimation. Danielsson, Jon and Vries, Casper picture_as_pdf
  • Can we prove a bank guilty of creating systemic risk? A minority report. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • Can we prove a bank guilty of creating systemic risk? A minority report. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur picture_as_pdf
  • Comparing downside risk measures for heavy tailed distribution. Danielsson, Jon and Jorgensen, Bjørn N. and Sarma, Mandira and Vries, C. G. de
  • Consistent measures of risk. Danielsson, Jon and Zigrand, Jean-Pierre and Jorgensen, Bjørn N. and Sarma, Mandira and de Vries, C. G.
  • Cryptocurrencies:policy, economics and fairness. Danielsson, Jon picture_as_pdf
  • Dealing with systematic risk when we measure it badly. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • Endogenous and systemic risk. Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre
  • Equilibrium asset pricing with systemic risk. Danielsson, Jon and Zigrand, Jean-Pierre
  • Exchange rate determination and inter–market order flow effects. Danielsson, Jon and Luo, Jinhui and Payne, Richard
  • Fat tails, VaR and subadditivity. Danielsson, Jon and de Vries, Casper G. and Jorgensen, Bjorn and Samorodnitsky, Gennady and Mandira, Sarma
  • Feedback trading. Danielsson, Jon and Love, Ryan
  • Financial volatility and economic growth, 1870-2016. Danielsson, Jon and Valenzuela, Marcela and Zer, Ilknur picture_as_pdf
  • Learning from history:volatility and financial crises. Danielsson, Jon and Valenzuela, Marcela and Zer, Ilknur
  • Learning from history:volatility and financial crises. Danielsson, Jon and Valenzuela, Marcela and Zer, Ilknur picture_as_pdf
  • Market resilience. Danielsson, Jon and Panayi, Efstathios and Peters, Gareth and Zigrand, Jean-Pierre picture_as_pdf
  • Model risk of risk models. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • Model risk of systemic risk models. Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur
  • On the impact of fundamentals, liquidity and coordination on market stability. Danielsson, Jon and Penaranda, Francisco
  • On time-scaling of risk and the square–root–of–time rule. Danielsson, Jon and Zigrand, Jean-Pierre
  • Real trading patterns and prices in spot foreign exchange markets. Danielsson, Jon and Payne, Richard picture_as_pdf
  • Risk models–at–risk. Boucher, Christophe M. and Danielsson, Jon and Kouontchou, Patrick S. and Maillet, Bertrand B.
  • Subadditivity re–examined:the case for value-at-risk. Danielsson, Jon and Jorgensen, Bjørn N. and Mandira, Sarma and Samorodnitsky, Gennady and Vries, C. G. de
  • Tail index estimation:quantile driven threshold selection. Danielsson, Jon and Ergun, Lerby M. and Haan, Laurens de and Vries, Casper G. de
  • Value-at-risk and extreme returns. Danielsson, Jon and Vries, Casper picture_as_pdf
  • What happens when you regulate risk?: evidence from a simple equilibrium model. Zigrand, Jean-Pierre and Danielsson, Jon
  • Why risk is so hard to measure. Danielsson, Jon and Zhou, Chen
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  • Lessons from the collapse of Silicon Valley Bank. Danielsson, Jon and Macrae, Robert and Tchouparov, Nikola picture_as_pdf
  • The case against aggressive government action on crypto. Danielsson, Jon picture_as_pdf