Danielsson, Jon

Dr Jon Danielsson  

Department

Position held

Reader in Finance

 

Co-Director

 

Experience keywords:

extreme value theory; financial risk analysis; value at risk; volatility modelling and forecasting

Languages:

Icelandic [Spoken: Fluent, Written: Fluent]; Spanish [Spoken: Intermediate, Written: Intermediate]

Media experience:

Radio; TV

Contact Points

LSE phone number:

+44 (0)20 7955 6056

Publications

2015

Chwieroth, Jeffrey and Danielsson, Jon (2015) Averting financial crisis Britain in 2015.

Danielsson, Jon (2015) Post-crisis banking regulation: evolution of economic thinking as it happened on Vox VoxEU.org (2 Mar 2015) opinion

Danielsson, Jon (2015) What the Swiss FX shock says about risk models VoxEU.org (18 Jan 2015) opinion

Danielsson, Jon and Zhou, Chen (2015) Why risk is hard to measure VoxEU.org (25 Apr 2015) opinion

Danielsson, Jon and Micheler, Eva and Neugebauer, Katja and Uthemann, Andreas and Zigrand, Jean-Pierre (2015) Europe’s proposed capital markets union: disruption will drive investment and innovation VoxEU.org (23 Feb 2015) opinion

Danielsson, Jon and Zhou, Chen (2015) Why risk is so hard to measure Discussion Paper Series, SRC Discussion Paper No 36. The London School of Economics and Political Science Systematic Risk Centre, London, UK.

2014

Danielsson, Jon (2014) Systemic risk and financial regulations: what is the link?. In: European Commission (Economic Analysis), Internal Market and Services DG Conference, 27 February 2014, European Commission, Brussels, Belgium

Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur (2014) Model risk and the implications for risk management, macroprudential policy, and financial regulations VoxEU.org (8 Jun 2014) opinion

Danielsson, Jon and James, Kevin R. and Valenzuela, Marcela and Zer, Ilknur (2014) Model risk of risk models SRC Discussion Paper, No 11. Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Boucher, Christophe M. and Danielsson, Jon and Kouontchou, Patrick S. and Maillet, Bertrand B. (2014) Risk models-at-risk Journal of Banking & Finance, 44. 72-92. ISSN 03784266

2013

Danielsson, Jon (2013) Does risk forecasting help macroprudential policy makers?. In: Marie Curie ITN Conference on Financial Risk Management & Risk Reporting, 12 April 2013, University of Konstanz, Konstanz, Baden-Württemberg, Germany

Danielsson, Jon (2013) Issues in empirically modelling systemic risk. In: 18th Annual Workshop on the Economic Science with Heterogeneous Interacting Agents, 20 June 2013, Reykjavik University, Reykjavik, Iceland

Danielsson, Jon and Koijen, Ralph S.J. and Laeven, Roger and Perotti, Enrico (2013) Solvency II: three principles to respect VoxEU.org (21 Oct 2013) opinion

Danielsson, Jon (2013) Global financial systems: stability and risk Pearson, Harlow, UK. ISBN 9780273774662

Chwieroth, Jeffrey and Danielsson, Jon (2013) Political challenges of the macroprudential agenda VoxEU.org (6 Sep 2013) opinion

Danielsson, Jon (2013) Iceland’s post-Crisis economy: A myth or a miracle? VoxEU.org (21 May 2013) opinion

Danielsson, Jon (2013) The new market-risk regulations VoxEU.org (28 Nov 2013) opinion

Boudt, Kris and Danielsson, Jon and Laurent, Sebastien (2013) Robust forecasting of dynamic conditional correlation GARCH models International Journal of Forecasting, 29 (2). 244-257. ISSN 0169-2070

Danielsson, Jon and Jorgensen, Bjorn N. and Samorodnitsky, Gennady and Sarma, Mandira and de Vries, Casper G. (2013) Fat tails, VaR and subadditivity Journal of Econometrics, 172 (2). 283-291. ISSN 0304-4076

Boucher, Christophe M. and Danielsson, Jon and Kouontchou, Patrick S. and Maillet, Bertrand B. (2013) Risk models–at–risk SRC Discussion Paper, No 8. Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

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. 111-129. ISSN 1941-1383

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 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 Luo, Jinhui and Payne, Richard (2012) Exchange rate determination and inter–market order flow effects European Journal of Finance, 18 (9). 823-840. ISSN 1351-847X

Danielsson, Jon and Pyne, Richard (2012) Liquidity determination in an order driven market The European Journal of Finance, 18 (9). 799-821. ISSN 1351-847X

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.

2011

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

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

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

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

2009

Benink, Harald and Danielsson, Jon and Goodhart, Charles (2009) The future of banking regulation: the Basel II Accord John Wiley & Sons, London, UK. ISBN 9781405158268

2008

Benink, Harald and Danielsson, Jon and Jónsson, Ásgeir (2008) On the role of regulatory banking capital Financial Markets, Institutions and Instruments, 17 (1). 85-96. ISSN 0963-8008

Danielsson, Jon (2008) Blame the models Journal of Financial Stability, 4 (4). 321-328. ISSN 1572-3089

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

Danielsson, Jon and Jorgensen, Bjorn 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). 345-367. ISSN 1614-2446

2007

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 (2007) Regulating hedge funds Financial Stability Review, 10 (Spec.). 29-36. ISSN 1636-6964

2006

Danielsson, Jon and Jorgensen, Bjorn N. and Sarma, Mandira and de Vries, Casper G (2006) Comparing downside risk measures for heavy tailed distributions Economics Letters, 92 (2). 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). 2701-2713. ISSN 0378-4266

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 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.

2005

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.

2004

Jorgensen, Bjorn N. and 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, 13-31. ISBN 9780470861547

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). 1069-1087. ISSN 0378-4266

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 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.

2003

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

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.

2002

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

Danielsson, Jon and Jorgensen, Bjørn N. and de Vries, Casper G. (2002) Incentives for effective risk management Journal of Banking and Finance, 26 (7). 1407-1425. 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). 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 international studies in money and banking (17). Routledge, London, UK, 18-40. ISBN 9780415298278

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

2001

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). 226-248. ISSN 0047-259X

Danielsson, Jon and Embrechts, Paul and Goodhart, Charles and Keating, Con and Muennich, Felix and Renault, Olivier and Shin, Hyun Song (2001) An academic response to Basel II Special paper series, SP130. Financial Markets Group , London, UK.

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.

2000

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

Cumperayot, Phornchanok J. and Danielsson, Jon and Jorgensen, Bjorn N. and Vries, Casper G. (2000) On the (Ir)relevancy of value-at-risk regulation Measuring Risk in Complex Stochastic Systems, 147. 99-117. ISSN 0930-0325

1998

Danielsson, Jon and 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. 107-108. ISSN 0147-6580

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