Dr Jon Danielsson

Page contents >  Research interests | Selected papers | Teaching | Lectures/classes | Other webpages

 Research interests

• Financial risk analysis
• Value at risk
• Volatility modelling and forecasting
• Extreme value theory

Selected papers

• "Equilibrium Asset Pricing with Systemic Risk", 2008, with Jean-Pierre Zigrand, Economic Theory.
   
• "Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation." 2008, with B. N.
  Jorgensen, X. Yang and C. G. de Vries, Annals of Finance.
   
• "On Time-Scaling of Risk and the Square-root-of-time rule", 2006, Journal of Banking and Finance, with Jean-Pierre Zigrand.
   
• "Comparing downside risk measures for heavy tailed distributions", 2006, Economics Letters, with B. N. Jorgensen and Mandira Sarma and C. G. de Vries.

Teaching

• Office Hours (internal LSE access only)

Lectures/classes

• FM447 Global Financial System
  Current students click here for course information
  

Other webpages

• RiskResearch
• Dr Jon Danielsson's Experts page