Working papers
2024
2023
2018
2017
2014
2013
2012
-
Procyclical leverage and endogenous risk
Regime switches in the volatility and correlation of financial institutions
Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk
Fat tails, VaR and subadditivity
Liquidity determination in an order driven market
Exchange rate determination and inter-market order flow effects
Endogenous extreme events and the dual role of prices
2011
2009
2008
2006
2003
-
Anatomy of a market crash: A market microstructure analysis of the Turkish overnight liquidity crisis
On the feasibility of risk based regulation
Regulation incentives for risk management in incomplete markets
Where do extremes matter?
What happens when you regulate risk? Evidence from a simple equilibrium model
2002
-
Asset Price Dynamics with Value-at-Risk Constrained Traders
Measuring and explaining liquidity on an electronic limit order book: Evidence from Reuters D2000-2
The inter-temporal nature of risk
Incentives for effective risk management
Endogenous risk
Real trading patterns and prices in spot foreign exchange markets
The Emperor has no clothes: Limits to risk modelling
2001
Bloggs
Risk forecasting models are least reliable when needed the most
November 23, 2024 On the ideal properties of risk measures
November 8, 2024 What genuinely predicts financial crises?
October 14, 2024 The tools my life runs on
September 28, 2024 How the financial authorities can respond to AI threats to financial stability
July 28, 2024 AI financial crises
July 26, 2024 Why so many crises happen when we know why they happen and how to prevent them
May 30, 2024 How the financial authorities can take advantage of artificial intelligence
March 19, 2024 When risk models hallucinate
February 3, 2024 How AI can undermine financial stability
January 22, 2024 Artificial intelligence and financial stability
October 27, 2023 When artificial intelligence becomes a central banker
July 11, 2023 The legacy of cryptocurrencies
June 23, 2023 The fallacy of composition in financial regulations
May 20, 2023 On the perils of regulating an infinitely complex financial system
May 17, 2023 Buffers or shock absorption in regulating finance
April 15, 2023 The case against aggressive government action on crypto
March 29, 2023 What Silicon Valley Bank and Credit Suisse tell us about financial regulations
March 25, 2023 Lessons from the collapse of Silicon Valley Bank
March 15, 2023 Risk and scientific socialism
February 11, 2023 Is risk a fate or a choice?
December 15, 2022 The magic of riskometers
December 10, 2022 The beginning of the end for cryptocurrencies
November 29, 2022 How to manipulate risk forecasts and not get caught
November 19, 2022 Perceived and actual risk
November 12, 2022 The illusion of control
November 7, 2022 The McNamara fallacy and the financial Authorities
November 5, 2022 When is a cyberattack systemic?
October 29, 2022 Climate risk and financial risk
October 22, 2022 Democracy works
October 21, 2022 Who believes risk can be measured?
October 8, 2022 What do we want to get out of regulations?
October 6, 2022 Systemic risk in 2008 and today
October 1, 2022 Why the risk you measure is probably not the risk you care about
September 26, 2022 The impact of risk cycles on business cycles, a historical view
August 28, 2022 Choosing a numerical programming language for economic research: Julia, MATLAB, Python or R
August 13, 2022 Review of "Nuclear folly, a new history of the Cuban missile crisis" and lessons for financial policy
August 12, 2022 Web Appendix for numerical language comparison 2022
July 28, 2022 Crypto and financial stability
July 14, 2022
November 23, 2024 On the ideal properties of risk measures
November 8, 2024 What genuinely predicts financial crises?
October 14, 2024 The tools my life runs on
September 28, 2024 How the financial authorities can respond to AI threats to financial stability
July 28, 2024 AI financial crises
July 26, 2024 Why so many crises happen when we know why they happen and how to prevent them
May 30, 2024 How the financial authorities can take advantage of artificial intelligence
March 19, 2024 When risk models hallucinate
February 3, 2024 How AI can undermine financial stability
January 22, 2024 Artificial intelligence and financial stability
October 27, 2023 When artificial intelligence becomes a central banker
July 11, 2023 The legacy of cryptocurrencies
June 23, 2023 The fallacy of composition in financial regulations
May 20, 2023 On the perils of regulating an infinitely complex financial system
May 17, 2023 Buffers or shock absorption in regulating finance
April 15, 2023 The case against aggressive government action on crypto
March 29, 2023 What Silicon Valley Bank and Credit Suisse tell us about financial regulations
March 25, 2023 Lessons from the collapse of Silicon Valley Bank
March 15, 2023 Risk and scientific socialism
February 11, 2023 Is risk a fate or a choice?
December 15, 2022 The magic of riskometers
December 10, 2022 The beginning of the end for cryptocurrencies
November 29, 2022 How to manipulate risk forecasts and not get caught
November 19, 2022 Perceived and actual risk
November 12, 2022 The illusion of control
November 7, 2022 The McNamara fallacy and the financial Authorities
November 5, 2022 When is a cyberattack systemic?
October 29, 2022 Climate risk and financial risk
October 22, 2022 Democracy works
October 21, 2022 Who believes risk can be measured?
October 8, 2022 What do we want to get out of regulations?
October 6, 2022 Systemic risk in 2008 and today
October 1, 2022 Why the risk you measure is probably not the risk you care about
September 26, 2022 The impact of risk cycles on business cycles, a historical view
August 28, 2022 Choosing a numerical programming language for economic research: Julia, MATLAB, Python or R
August 13, 2022 Review of "Nuclear folly, a new history of the Cuban missile crisis" and lessons for financial policy
August 12, 2022 Web Appendix for numerical language comparison 2022
July 28, 2022 Crypto and financial stability
July 14, 2022
Risk research
Jon Danielson's research papers on systemic risk, artificial intelligence, risk forecasting, financial regulations and crypto currencies.© All rights reserved, Jon Danielsson,