Danielsson, Jon

Danielsson, Jon and de Vries, Casper G. and Jorgensen, Bjorn and Samorodnitsky, Gennady and Mandira, Sarma (2012) Fat tails, VaR and subadditivity. Jon Danielsson

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 ISSN 1941-1383

Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre (2012) Endogenous and systemic risk. NBER chapters, 12054. National Bureau of Economic Research, Massachusetts, USA

Danielsson, Jon (2012) 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. Blog post from London School of Economics & Political Science

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

Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur (2011) Model risk of systemic risk models. Jon Danielsson

Danielsson, Jon and Luo, Jinhui and Payne, Richard (2011) Exchange rate determination and inter–market order flow effects. Jon Danielsson

Danielsson, Jon (2011) Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab. Wiley-Blackwell. ISBN 9780470669433

Danielsson, Jon and Song Shin, Hyun and Zigrand, Jean-Pierre (2011) Balance sheet capacity and endogenous risk. Financial Markets Group, 665. Financial Markets Group, London School of Economics and Political Science, London, UK

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

Benink, Harald and Danielsson, Jon and Goodhart, Charles (2009) The future of banking regulation: the Basel II Accord. Blackwell. ISBN 978-1405158268

Danielsson, Jon (2008) Blame the models. Journal of financial stability, 4 (4). pp. 321-328. ISSN 1572-3089

Danielsson, Jon and Zigrand, Jean-Pierre (2008) Equilibrium asset pricing with systemic risk. Economic theory, 35 (2). pp. 293-319. ISSN 1432-0479

Benink, Harald and Danielsson, Jon and Jónsson, Ásgeir (2008) On the role of regulatory banking capital. Financial markets, institutions & instruments, 17 (1). pp. 85-96. ISSN 0963-8008

Danielsson, Jon and Jorgensen, Bjørn N. and Vries, Casper G. and Yang, Xiaoguang (2008) Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Annals of finance, 4 (3). pp. 345-367. ISSN 1614-2446

Danielsson, Jon and Zigrand, Jean-Pierre (2007) Regulating hedge funds. Financial stability review, 10 (Spec.). pp. 29-36. ISSN 1636-6964

Danielsson, Jon and Penaranda, Francisco (2007) On the impact of fundamentals, liquidity and coordination on market stability. Discussion paper, 586. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and Zigrand, Jean-Pierre and Jorgensen, Bjørn N. and Sarma, Mandira and de Vries, C. G. (2006) Consistent measures of risk. Discussion paper, 565. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and Zigrand, Jean-Pierre (2006) Equilibrium asset pricing with systemic risk. Discussion paper, 561. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and Jorgensen, Bjørn N. and Sarma, Mandira and de Vries, Casper G (2006) Comparing downside risk measures for heavy tailed distributions. Economics letters, 92 (2). pp. 202-208. ISSN 0165-1765

Danielsson, Jon and Zigrand, Jean-Pierre (2006) On time-scaling of risk and the square-root-of-time rule. Journal of banking and finance, 30 (10). pp. 2701-2713. ISSN 0378-4266

Danielsson, Jon and Jorgensen, Bjørn N. and Sarma, Mandira and Vries, C. G. de (2005) Comparing downside risk measures for heavy tailed distribution. Discussion paper, 551. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and Jorgensen, Bjørn N. and Mandira, Sarma and Samorodnitsky, Gennady and Vries, C. G. de (2005) Subadditivity re–examined: the case for value-at-risk. Discussion paper, 549. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and Taylor, Ashley and Zigrand, Jean-Pierre (2004) Highwaymen or heroes: should hedge funds be regulated? Discussion paper: IAM Series No 004, 518. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and Love, Ryan (2004) Feedback trading. Discussion paper, 510. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and Shin, Hyun Song and Zigrand, Jean-Pierre (2004) The impact of risk regulation on price dynamics. Journal of banking and finance, 28 (5). pp. 1069-1087. ISSN 0378-4266

Danielsson, Jon and Saltoglu, Burak (2003) Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis. Discussion paper, 456. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and Zigrand, Jean-Pierre (2003) On time-scaling of risk and the square–root–of–time rule. Discussion paper, 439. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and Shin, Hyun Song (2003) Endogenous risk. In: Field, Peter, (ed.) Modern Risk Management: A History. Risk Books, London.

Danielsson, Jon and Jorgensen, Bjørn N. and de Vries, Casper G. (2002) Incentives for effective risk management. Journal of banking and finance, 26 (7). pp. 1407-1425. ISSN 0378-4266

Danielsson, Jon (2002) The emperor has no clothes: limits to risk modelling. Journal of banking and finance, 26 (7). pp. 1273-1296. ISSN 0378-4266

Danielsson, Jon and Payne, R. (2002) Real trading patterns and prices in spot inter-dealer foreign exchange markets. Journal of international money and finance, 21 (2). pp. 203-222. ISSN 0261-5606

Danielsson, Jon and Goodhart, Charles (2002) The inter-temporal nature of risk. In: Balling, Morten and Lierman, Frank and Mullineux, Andrew, (eds.) Technology and Finance: Challenges for Financial Markets, Business Strategies and Policy Makers. Routledge, London, UK, pp. 18-40. ISBN 9780415298278

Zigrand, Jean-Pierre and Danielsson, Jon (2001) What happens when you regulate risk?: evidence from a simple equilibrium model. Discussion paper, 393. Financial Markets Group, London School of Economics and Political Science, London, UK

Danielsson, Jon and de Haan, L. and Peng, L. and de Vries, C. G. (2001) Using a bootstrap method to choose the sample fraction in tail index estimation. Journal of multivariate analysis, 76 (2). pp. 226-248. ISSN 0047-259X

Danielsson, Jon and Vries, C. G. de (2000) Value-at-risk and extreme returns. Annales d'economie et de statistique, 60 (Specia). pp. 236-269. ISSN 0769-489X