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Danielsson, Jon (2023) The case against aggressive government action on crypto. LSE Business Review (29 Mar 2023). Blog Entry.
Danielsson, Jon, Macrae, Robert and Tchouparov, Nikola (2023) Lessons from the collapse of Silicon Valley Bank. LSE Business Review (15 Mar 2023). Blog Entry.
Danielsson, Jon, Valenzuela, Marcela and Zer, Ilknur (2022) The impact of risk cycles on business cycles: a historical view. Review of Financial Studies, 36 (7). 2922 - 2961. ISSN 0893-9454
Danielsson, Jon, Macrae, Robert and Uthemann, Andreas ORCID: 0000-0002-7942-8530
(2022)
Artificial intelligence and systemic risk.
Journal of Banking and Finance, 140.
ISSN 0378-4266
Danielsson, Jon, Goodhart, C. A. E. and Macrae, Robert (2022) Sanctions, war, and systemic risk in 1914 and 2022. VOX EU.
Danielsson, Jon, Giger, Peter, Joshi, Mohit, Lordan, Grace, Sanghvi, Sneha and Siddiqi, Lutfey (2020) Risk landscape: review 2020 & preview 2021. Systemic Risk Centre, The London School of Economics and Political Science.
Danielsson, Jon, Valenzuela, Marcela and Zer, Ilknur (2020) Financial volatility and economic growth, 1870-2016. Systemic Risk Centre Discussion Papers (100). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, Macrae, Robert, Vayanos, Dimitri ORCID: 0000-0002-0944-4914 and Zigrand, Jean-Pierre
ORCID: 0000-0002-7784-4231
(2020)
The coronavirus crisis is no 2008.
VoxEU.
Danielsson, Jon (2018) Cryptocurrencies: policy, economics and fairness. Systemic Risk Centre Discussion Papers (86). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, Valenzuela, Marcela and Zer, Ilknur (2018) Learning from history: volatility and financial crises. Review of Financial Studies, 31 (7). 2774 - 2805. ISSN 0893-9454
Danielsson, Jon, Panayi, Efstathios, Peters, Gareth and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2018)
Market resilience.
Systemic Risk Centre Discussion Papers (78).
Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, Valenzuela, Marcela and Zer, Ilknur (2018) Learning from history: volatility and financial crises. Systemic Risk Centre Discussion Papers (57). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Panayi, Efstathios, Peters, Gareth W., Danielsson, Jon and Zigrandd, Jean-Pierre (2018) Designating market maker behaviour in limit order book markets. Econometrics and Statistics, 5. pp. 20-44. ISSN 2452-3062
Danielsson, Jon, Macrae, Robert and Micheler, Eva (2017) Brexit and systemic risk. VoxEU.
Danielsson, Jon, Macrae, Robert, Tsomocos, Dimitrios P. and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2016)
Why macropru can end up being procyclical.
VoxEU.
Danielsson, Jon and Macrae, Robert (2016) The fatal flaw in macropru: it ignores political risk. VoxEU.
Danielsson, Jon, Valenzuela, Marcela and Zer, Ilknur (2016) Low volatility makes a financial crisis more likely. LSE Business Review (22 Aug 2016). Website.
Csullag, Balazs, Danielsson, Jon and Macrae, Robert (2016) Why it doesn't make sense to hold bonds. VoxEU.
Danielsson, Jon, Macrae, Robert and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2016)
On the financial market consequences of Brexit.
VoxEU.
Danielsson, Jon, Fouché, Morgane and Macrae, Robert (2016) Cyber risk as systemic risk. VoxEU.
Danielsson, Jon, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2016) Can we prove a bank guilty of creating systemic risk? A minority report. Journal of Money, Credit and Banking, 48 (4). 795 - 812. ISSN 0022-2879
Danielsson, Jon and Tsanakas, Andreas (2016) Everybody right, everybody wrong: plural rationalities in macroprudential regulation. VoxEU.
Danielsson, Jon, Ergun, Lerby M., Haan, Laurens de and Vries, Casper G. de (2016) Tail index estimation: quantile driven threshold selection. Systemic Risk Centre Discussion Papers (58). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2016) Model risk of risk models. Journal of Financial Stability, 23. pp. 79-91. ISSN 1572-3089
Danielsson, Jon, Valenzuela, Marcela and Zer, Ilknur (2016) Learning from history: volatility and financial crises. Systemic Risk Centre Discussion Papers (57). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, Fouché, Morgane and Macrae, Robert (2015) The macro-micro conflict. VoxEU.
Danielsson, Jon, Valenzuela, Marcela and Zer, Ilknur (2015) Volatility, financial crises and Minsky's hypothesis. VoxEU.
Danielsson, Jon, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2015) Can we prove a bank guilty of creating systemic risk? A minority report. Systemic Risk Centre Discussion Papers (47). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2015) Can we prove a bank guilty of creating systemic risk? A minority report. Systemic Risk Centre Discussion Papers (47). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon (2015) Iceland illustrates why political ‘hectoring’ from foreign countries is bound to fail in Greece. LSE European Politics and Policy (EUROPP) Blog (19 Aug 2015). Website.
Danielsson, Jon (2015) Iceland, Greece and political hectoring. VoxEU.
Danielsson, Jon and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2015)
A proposed research and policy agenda for systemic risk.
VoxEU.
Danielsson, Jon and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2015)
Are asset managers systemically important?
VoxEU.
Danielsson, Jon and Kristjánsdóttir, Ásdís (2015) Why Iceland can now remove capital controls. VoxEU.
Danielsson, Jon and Zhou, Chen (2015) Why risk is hard to measure. VoxEU.
Danielsson, Jon and Zhou, Chen (2015) Why risk is so hard to measure. Systemic Risk Centre Discussion Papers (36). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon (2015) Post-crisis banking regulation: evolution of economic thinking as it happened on Vox. VoxEU.
Danielsson, Jon, Bair, Sheila, Shin, Hyun Song, Borio, Claudio, Ratnovski, Lev, Boot, Arnoud, Goodhart, Charles, Zamil, Raihan, Hagendorff, Jens, Vallascas, Francesco, Gersbach, Hans, Calomiris, Charles W., Persaud, Avinash, Atkinson, Paul E., Blundell-Wignall, Adrian, Schmitz, Stefan W., Laeven, Luc, Levine, Ross, Hoshi, Takeo, Bremus, Franziska, Buch, Claudia M., Russ, Katheryn, Schnitzer, Monika, Cabellero, Ricardo, Claessens, Stijn, Pozsar, Zoltan, Singh, Manmohan, Čihák, Martin, Nier, Erlend W., Igan, Deniz, Mishra, Prachi, Tressel, Thierry, Perotti, Enrico and Spagnolo, Giancarlo (2015) Post-crisis banking regulation: evolution of economic thinking as it happened on Vox. VoxEU.org eBooks. Centre for Economic Policy Research (Great Britain), London, UK. ISBN 9781907142833
Danielsson, Jon, Micheler, Eva, Neugebauer, Katja, Uthemann, Andreas ORCID: 0000-0002-7942-8530 and Zigrand, Jean-Pierre
ORCID: 0000-0002-7784-4231
(2015)
Europe’s proposed capital markets union: disruption will drive investment and innovation.
VoxEU.
Danielsson, Jon, Micheler, Eva, Neugebauer, Katja, Uthemann, Andreas ORCID: 0000-0002-7942-8530 and Zigrand, Jean-Pierre
ORCID: 0000-0002-7784-4231
(2015)
Europe’s proposed capital markets union: how disruptive technologies will drive investment and innovation.
LSE European Politics and Policy (EUROPP) Blog
(23 Feb 2015).
Website.
Danielsson, Jon (2015) What the Swiss FX shock says about risk models. VoxEU.
Chwieroth, Jeffrey and Danielsson, Jon (2015) Averting financial crisis. Britain in 2015.
Boucher, Christophe M., Danielsson, Jon, Kouontchou, Patrick S. and Maillet, Bertrand B. (2014) Risk models-at-risk. Journal of Banking and Finance, 44. pp. 72-92. ISSN 0378-4266
Danielsson, Jon, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2014) Model risk and the implications for risk management, macroprudential policy, and financial regulations. VoxEU.
Danielsson, Jon, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2014) Model risk of risk models. Systemic Risk Centre Discussion Papers (11). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon (2014) Systemic risk and financial regulations: what is the link? In: European Commission (Economic Analysis), Internal Market and Services DG Conference, 2014-02-27, Brussels, Belgium, BEL.
Boucher, Christophe M., Danielsson, Jon, Kouontchou, Patrick S. and Maillet, Bertrand B. (2014) Risk models–at–risk. Systemic Risk Centre Discussion Papers (8). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
Danielsson, Jon (2013) The new market-risk regulations. VoxEU.
Danielsson, Jon, Koijen, Ralph S.J., Laeven, Roger and Perotti, Enrico (2013) Solvency II: three principles to respect. VoxEU.
Chwieroth, Jeffrey and Danielsson, Jon (2013) Political challenges of the macroprudential agenda. VoxEU.
Danielsson, Jon (2013) Global financial systems: stability and risk. Pearson (Firm), Harlow, UK. ISBN 9780273774662
Danielsson, Jon (2013) Issues in empirically modelling systemic risk. In: 18th Annual Workshop on the Economic Science with Heterogeneous Interacting Agents, 2013-06-20, Reykjavik, Iceland, ISL.
Danielsson, Jon (2013) Iceland’s post-Crisis economy: A myth or a miracle? VoxEU.
Danielsson, Jon (2013) Does risk forecasting help macroprudential policy makers? In: Marie Curie ITN Conference on Financial Risk Management & Risk Reporting, 2013-04-12, Baden-Württemberg, Germany, DEU.
Boudt, Kris, Danielsson, Jon and Laurent, Sebastien (2013) Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting, 29 (2). pp. 244-257. ISSN 0169-2070
Danielsson, Jon, Jorgensen, Bjorn N., Samorodnitsky, Gennady, Sarma, Mandira and de Vries, Casper G. (2013) Fat tails, VaR and subadditivity. Journal of Econometrics, 172 (2). pp. 283-291. ISSN 0304-4076
Danielsson, Jon, de Vries, Casper G., Jorgensen, Bjorn, Samorodnitsky, Gennady and Mandira, Sarma (2012) Fat tails, VaR and subadditivity. . Jon Danielsson.
Danielsson, Jon and Pyne, Richard (2012) Liquidity determination in an order driven market. European Journal of Finance, 18 (9). pp. 799-821. ISSN 1351-847X
Danielsson, Jon, Song Shin, Hyun and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2012)
Endogenous extreme events and the dual role of prices.
Annual Review of Economics, 4.
pp. 111-129.
ISSN 1941-1383
Danielsson, Jon, Song Shin, Hyun and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(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. LSE European Politics and Policy (EUROPP) Blog (21 Mar 2012). Website.
Danielsson, Jon, James, Kevin R., 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, Luo, Jinhui and Payne, Richard (2012) Exchange rate determination and inter–market order flow effects. European Journal of Finance, 18 (9). pp. 823-840. ISSN 1351-847X
Danielsson, Jon, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2011) Model risk of systemic risk models. . Jon Danielsson.
Benediktsdottir, Sigridur, Danielsson, Jon and Zoega, Gylfi (2011) Lessons from a collapse of a financial system. Economic Policy, 26 (66). pp. 183-235. ISSN 0266-4658
Danielsson, Jon, 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, Song Shin, Hyun and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2011)
Balance sheet capacity and endogenous risk.
Financial Markets Group Discussion Papers (665).
Financial Markets Group, The 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, Danielsson, Jon and Goodhart, Charles (2009) The future of banking regulation: the Basel II Accord. John Wiley & Sons, London, UK. ISBN 9781405158268
Danielsson, Jon (2008) Blame the models. Journal of Financial Stability, 4 (4). pp. 321-328. ISSN 1572-3089
Danielsson, Jon and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2008)
Equilibrium asset pricing with systemic risk.
Economic Theory, 35 (2).
pp. 293-319.
ISSN 0938-2259
Benink, Harald, Danielsson, Jon and Jónsson, Ásgeir (2008) On the role of regulatory banking capital. Financial Markets, Institutions and Instruments, 17 (1). pp. 85-96. ISSN 0963-8008
Danielsson, Jon, Jorgensen, Bjorn N., 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 ORCID: 0000-0002-7784-4231
(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. Financial Markets Group Discussion Papers (586). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231, Jorgensen, Bjørn N., Sarma, Mandira and de Vries, C. G.
(2006)
Consistent measures of risk.
Financial Markets Group Discussion Papers (565).
Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2006)
Equilibrium asset pricing with systemic risk.
Financial Markets Group Discussion Papers (561).
Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, Jorgensen, Bjorn N., 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 ORCID: 0000-0002-7784-4231
(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, Jorgensen, Bjørn N., Sarma, Mandira and Vries, C. G. de (2005) Comparing downside risk measures for heavy tailed distribution. Financial Markets Group Discussion Papers (551). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, Jorgensen, Bjørn N., Mandira, Sarma, Samorodnitsky, Gennady and Vries, C. G. de (2005) Subadditivity re–examined: the case for value-at-risk. Financial Markets Group Discussion Papers (549). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon and Love, Ryan (2004) Feedback trading. Financial Markets Group Discussion Papers (510). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, Shin, Hyun Song and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2004)
The impact of risk regulation on price dynamics.
Journal of Banking and Finance, 28 (5).
pp. 1069-1087.
ISSN 0378-4266
Jorgensen, Bjorn N., Danielsson, Jon and de Vries, Casper G. (2004) Regulation incentives for risk management in incomplete markets. In: Giorgio, Szego, (ed.) New Risk Measures in Investment and Regulation. Wiley Finance Series. John Wiley & Sons, Chichester, UK, pp. 13-31. ISBN 9780470861547
Danielsson, Jon and Saltoglu, Burak (2003) Anatomy of a market crash: a market microstructure analysis of the Turkish overnight liquidity crisis. Financial Markets Group Discussion Papers (456). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2003)
On time-scaling of risk and the square–root–of–time rule.
Financial Markets Group Discussion Papers (439).
Financial Markets Group, The 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, Jorgensen, Bjorn 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, Lierman, Frank and Mullineux, Andrew, (eds.) Technology and Finance: Challenges for Financial Markets, Business Strategies and Policy Makers. Routledge international studies in money and banking (17). Routledge, London, UK, pp. 18-40. ISBN 9780415298278
Danielsson, Jon, Shin, Hyun Song and Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231
(2001)
Asset price dynamics with value-at-risk constrained traders.
Financial Markets Group Discussion Papers (394).
Financial Markets Group, The London School of Economics and Political Science, London, UK.
Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 and Danielsson, Jon
(2001)
What happens when you regulate risk?: evidence from a simple equilibrium model.
Financial Markets Group Discussion Papers (393).
Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, de Haan, L., 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
Cumperayot, Phornchanok J., Danielsson, Jon, Jorgensen, Bjorn N. and Vries, Casper G. (2000) On the (Ir)relevancy of value-at-risk regulation. In: Franke, Jürgen, Stahl, Gerhard and Härdle, Wolfgang, (eds.) Measuring Risk in Complex Stochastic Systems. Lecture Notes in Statistics,147. Springer Science+Business Media B.V., New York, 99 - 117. ISBN 9780387989969
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
Danielsson, Jon and Payne, Richard (1999) Real trading patterns and prices in spot foreign exchange markets. Financial Markets Group Discussion Papers (320). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon, Jorgensen, Bjorn N. and De Vries, Casper G. (1998) The value of value at risk: statistical, financial, and regulatory considerations summary of presentation. Economic Policy Review. pp. 107-108. ISSN 0147-6580
Danielsson, Jon and Vries, Casper (1998) Beyond the sample: extreme quantile and probability estimation. Financial Markets Group Discussion Papers (298). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Danielsson, Jon and Vries, Casper (1997) Value-at-risk and extreme returns. Financial Markets Group Discussion Papers (273). Financial Markets Group, The London School of Economics and Political Science, London, UK.