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Daily risk forecast
Blog
About Jon Danielsson
Books
Financial Risk Forecasting
Global Financial Systems
Working Papers
2021
The calming of short-term market fears and its long-term consequences: The Federal Reserve's reaction to Covid-19
2020
The Impact of Risk Cycles on Business Cycles: A Historical View
Artificial intelligence and systemic risk
2019
Cryptocurrencies: Policy, economics and fairness
2018
Designating market maker behaviour in Limit Order Book markets
Market Resilience
Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks
Learning from History: Volatility and Financial Crises
2017
Challenges in implementing worst-case analysis
Can we prove a bank guilty of creating systemic risk? A minority report
Model risk of risk models
Why risk is so hard to measure
2016
Tail Index Estimation: Quantile Driven Threshold Selection
2015
Pitfalls in Worst Case Analysis
2014
Risk models-at-risk
2013
Endogenous and systemic risk
Robust forecasting of dynamic conditional correlation GARCH models
2012
Endogenous extreme events and the dual role of prices
Procyclical leverage and endogenous risk
Exchange rate determination and inter-market order flow effects
Regime switches in the volatility and correlation of financial institutions
Fat tails, VaR and subadditivity
Liquidity determination in an order driven market
Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk
2011
On the impact of fundamentals, liquidity and coordination on market stability
Lessons from a collapse of a financial system
Balance sheet capacity and endogenous risk
2009
On the efficacy of financial regulations
Collapse of a country
Risk appetite and endogenous risk
Hagkerfi b'idhur skipbrot
2008
Complexity kills
D'aleidd af bankastarfsemi
Blame the models
Blame the Models
Equilibrium asset pricing with systemic risk
Complexity kills
Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation
Consistent Measures of Risk
2007
Regulating hedge funds
Currency crises, (hidden) linkages, and volume
2006
Feedback trading
Highwaymen or heroes: Should hedge funds be regulated?
On time-scaling of risk and the square-root-of-time rule
Comparing downside risk measures for heavy tailed distributions
2005
Countercyclical Capital and Currency Dependence
2004
The impact of risk regulation on price dynamics
2003
Regulation incentives for risk management in incomplete markets
What happens when you regulate risk? Evidence from a simple equilibrium model
Where do extremes matter?
Anatomy of a market crash: A market microstructure analysis of the Turkish overnight liquidity crisis
On the feasibility of risk based regulation
2002
Measuring and explaining liquidity on an electronic limit order book: Evidence from Reuters D2000-2
Endogenous risk
The inter-temporal nature of risk
Incentives for effective risk management
Real trading patterns and prices in spot foreign exchange markets
The Emperor has no clothes: Limits to risk modelling
Asset Price Dynamics with Value-at-Risk Constrained Traders
2001
Using a bootstrap method to choose the sample fraction in tail index estimation
An academic response to Basel II
1998
The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations
The cost of conservatism: Extreme returns, Value-at-Risk, and the Basle 'multiplication factor'