Dr Jon Danielsson

Reader in Finance 

Research interests

• Systemic risk 
• Financial risk
• Econometrics
• Economic theory
• Financial crisis 

Selected papers

• Dealing with systematic risk when we measure it badly (2012) with Kevin R. James, Marcela Valenzuela and Ilknur Zer; European Center for Advanced Research in Economics and Statistics (Working Paper)

• Danielsson, Jon and Jorgensen, Bjørn N. and Samorodnitsky, Gennady and Sarma, Mandira and de Vries, Casper G. (2012) Fat Tails, VaR and Subadditivity, Journal of Econometrics, doi:10.1016/j.jeconom.2012.08.011

• Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre (2012) Endogenous extreme events and the dual role of prices, Annual review of economics, 4. pp. 111-129. ISSN 1941-1383

• Endogenous and systemic risk (2012) with Hyun Song Shin and Jean-Pierre Zigrand; NBER chapters, 12054 (Working Paper)

• Danielsson, Jon and Peñaranda, Francisco (2011) On the impact of fundamentals, liquidity, and coordination on market stability, International economic review, 52 (3). pp. 621-638. ISSN 0020-6598

• Model risk of systemic risk models (2011) with Kevin R. James, Marcela Valenzuela and Ilknur Zer (Working Paper)

• Balance sheet capacity and endogenous risk (2011) with Hyun Song Shin and Jean-Pierre Zigrand; Financial Markets Group, 665 (Discussion Paper)

• Exchange rate determination and inter–market order flow effects (2011) with Jinhui Luo and Richard Payne (Working Paper)

Books

• Financial Risk Forecasting, March 2011

Teaching

• Office Hours (internal LSE access only)

Lectures/classes

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

• FM320 Quantitative Finance
  Current students click here for course information

Other webpages

• RiskResearch
• Dr Jon Danielsson's Experts page