LSE creators

Number of items: 103.
Article
  • Danielsson, Jon, Uthemann, Andreas (2025). Artificial intelligence and financial crises. Journal of Financial Stability, 80, https://doi.org/10.1016/j.jfs.2025.101453 picture_as_pdf
  • Danielsson, Jon, Valenzuela, Marcela, Zer, Ilknur (2023). The impact of risk cycles on business cycles: a historical view. Review of Financial Studies, 36(7), 2922 - 2961. https://doi.org/10.1093/rfs/hhac091 picture_as_pdf
  • Danielsson, Jon, Macrae, Robert, Uthemann, Andreas (2022). Artificial intelligence and systemic risk. Journal of Banking and Finance, 140, https://doi.org/10.1016/j.jbankfin.2021.106290 picture_as_pdf
  • Danielsson, Jon, Goodhart, C. A. E., Macrae, Robert (2022). Sanctions, war, and systemic risk in 1914 and 2022. VOX EU,
  • Danielsson, Jon, Macrae, Robert, Vayanos, Dimitri, Zigrand, Jean-Pierre (2020). The coronavirus crisis is no 2008. VoxEU,
  • Danielsson, Jon, Valenzuela, Marcela, Zer, Ilknur (2018). Learning from history: volatility and financial crises. Review of Financial Studies, 31(7), 2774 - 2805. https://doi.org/10.1093/rfs/hhy049 picture_as_pdf
  • Panayi, Efstathios, Peters, Gareth W., Danielsson, Jon, Zigrandd, Jean-Pierre (2018). Designating market maker behaviour in limit order book markets. Econometrics and Statistics, 5, 20-44. https://doi.org/10.1016/j.ecosta.2016.10.008 picture_as_pdf
  • Danielsson, Jon, Macrae, Robert, Micheler, Eva (2017). Brexit and systemic risk. VoxEU,
  • Danielsson, Jon, Macrae, Robert, Tsomocos, Dimitrios P., Zigrand, Jean-Pierre (2016). Why macropru can end up being procyclical. VoxEU,
  • Danielsson, Jon, Macrae, Robert (2016). The fatal flaw in macropru: it ignores political risk. VoxEU,
  • Csullag, Balazs, Danielsson, Jon, Macrae, Robert (2016). Why it doesn't make sense to hold bonds. VoxEU,
  • Danielsson, Jon, Macrae, Robert, Zigrand, Jean-Pierre (2016). On the financial market consequences of Brexit. VoxEU,
  • Danielsson, Jon, Fouché, Morgane, Macrae, Robert (2016). Cyber risk as systemic risk. VoxEU,
  • Danielsson, Jon, James, Kevin R., Valenzuela, Marcela, 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. https://doi.org/10.1111/jmcb.12318
  • Danielsson, Jon, Tsanakas, Andreas (2016). Everybody right, everybody wrong: plural rationalities in macroprudential regulation. VoxEU,
  • Danielsson, Jon, James, Kevin R., Valenzuela, Marcela, Zer, Ilknur (2016). Model risk of risk models. Journal of Financial Stability, 23, 79-91. https://doi.org/10.1016/j.jfs.2016.02.002
  • Danielsson, Jon, Fouché, Morgane, Macrae, Robert (2015). The macro-micro conflict. VoxEU,
  • Danielsson, Jon, Valenzuela, Marcela, Zer, Ilknur (2015). Volatility, financial crises and Minsky's hypothesis. VoxEU,
  • Danielsson, Jon (2015). Iceland, Greece and political hectoring. VoxEU,
  • Danielsson, Jon, Zigrand, Jean-Pierre (2015). A proposed research and policy agenda for systemic risk. VoxEU,
  • Danielsson, Jon, Zigrand, Jean-Pierre (2015). Are asset managers systemically important? VoxEU,
  • Danielsson, Jon, Kristjánsdóttir, Ásdís (2015). Why Iceland can now remove capital controls. VoxEU,
  • Danielsson, Jon, Zhou, Chen (2015). Why risk is hard to measure. VoxEU,
  • Danielsson, Jon (2015). Post-crisis banking regulation: evolution of economic thinking as it happened on Vox. VoxEU,
  • Danielsson, Jon, Micheler, Eva, Neugebauer, Katja, Uthemann, Andreas, Zigrand, Jean-Pierre (2015). Europe’s proposed capital markets union: disruption will drive investment and innovation. VoxEU,
  • Danielsson, Jon (2015). What the Swiss FX shock says about risk models. VoxEU,
  • Chwieroth, Jeffrey, Danielsson, Jon (2015). Averting financial crisis. Britain in 2015,
  • Boucher, Christophe M., Danielsson, Jon, Kouontchou, Patrick S., Maillet, Bertrand B. (2014). Risk models-at-risk. Journal of Banking and Finance, 44, 72-92. https://doi.org/10.1016/j.jbankfin.2014.03.019
  • Danielsson, Jon, James, Kevin R., Valenzuela, Marcela, Zer, Ilknur (2014). Model risk and the implications for risk management, macroprudential policy, and financial regulations. VoxEU,
  • Danielsson, Jon (2013). The new market-risk regulations. VoxEU,
  • Danielsson, Jon, Koijen, Ralph S.J., Laeven, Roger, Perotti, Enrico (2013). Solvency II: three principles to respect. VoxEU,
  • Chwieroth, Jeffrey, Danielsson, Jon (2013). Political challenges of the macroprudential agenda. VoxEU,
  • Danielsson, Jon (2013). Iceland’s post-Crisis economy: A myth or a miracle? VoxEU,
  • Boudt, Kris, Danielsson, Jon, Laurent, Sebastien (2013). Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting, 29(2), 244-257. https://doi.org/10.1016/j.ijforecast.2012.06.003
  • Danielsson, Jon, Jorgensen, Bjorn N., Samorodnitsky, Gennady, Sarma, Mandira, de Vries, Casper G. (2013). Fat tails, VaR and subadditivity. Journal of Econometrics, 172(2), 283-291. https://doi.org/10.1016/j.jeconom.2012.08.011
  • Danielsson, Jon, Pyne, Richard (2012). Liquidity determination in an order driven market. European Journal of Finance, 18(9), 799-821. https://doi.org/10.1080/1351847X.2011.601654
  • Danielsson, Jon, Song Shin, Hyun, Zigrand, Jean-Pierre (2012). Endogenous extreme events and the dual role of prices. Annual Review of Economics, 4, 111-129. https://doi.org/10.1146/annurev-economics-080511-110930
  • Danielsson, Jon, Luo, Jinhui, Payne, Richard (2012). Exchange rate determination and inter–market order flow effects. European Journal of Finance, 18(9), 823-840. https://doi.org/10.1080/1351847X.2011.601655
  • Benediktsdottir, Sigridur, Danielsson, Jon, Zoega, Gylfi (2011). Lessons from a collapse of a financial system. Economic Policy, 26(66), 183-235. https://doi.org/10.1111/j.1468-0327.2011.00260.x
  • Danielsson, Jon, Peñaranda, Francisco (2011). On the impact of fundamentals, liquidity, and coordination on market stability. International Economic Review, 52(3), 621-638. https://doi.org/10.1111/j.1468-2354.2011.00642.x
  • Danielsson, Jon (2008). Blame the models. Journal of Financial Stability, 4(4), 321-328. https://doi.org/10.1016/j.jfs.2008.09.003
  • Danielsson, Jon, Zigrand, Jean-Pierre (2008). Equilibrium asset pricing with systemic risk. Economic Theory, 35(2), 293-319. https://doi.org/10.1007/s00199-007-0238-3
  • Benink, Harald, Danielsson, Jon, Jónsson, Ásgeir (2008). On the role of regulatory banking capital. Financial Markets, Institutions and Instruments, 17(1), 85-96. https://doi.org/10.1111/j.1468-0416.2007.00134.x
  • Danielsson, Jon, Jorgensen, Bjorn N., Vries, Casper G., Yang, Xiaoguang (2008). Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Annals of Finance, 4(3), 345-367. https://doi.org/10.1007/s10436-007-0081-3
  • Danielsson, Jon, Zigrand, Jean-Pierre (2007). Regulating hedge funds. Financial Stability Review, 10(Spec.), 29-36.
  • Danielsson, Jon, Jorgensen, Bjorn N., Sarma, Mandira, de Vries, Casper G (2006). Comparing downside risk measures for heavy tailed distributions. Economics Letters, 92(2), 202-208. https://doi.org/10.1016/j.econlet.2006.02.004
  • Danielsson, Jon, 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. https://doi.org/10.1016/j.jbankfin.2005.10.002
  • Danielsson, Jon, Shin, Hyun Song, Zigrand, Jean-Pierre (2004). The impact of risk regulation on price dynamics. Journal of Banking and Finance, 28(5), 1069-1087. https://doi.org/10.1016/S0378-4266(03)00113-4
  • Danielsson, Jon, Jorgensen, Bjorn N., de Vries, Casper G. (2002). Incentives for effective risk management. Journal of Banking and Finance, 26(7), 1407-1425. https://doi.org/10.1016/S0378-4266(02)00269-8
  • Danielsson, Jon (2002). The emperor has no clothes: limits to risk modelling. Journal of Banking and Finance, 26(7), 1273-1296. https://doi.org/10.1016/S0378-4266(02)00263-7
  • Danielsson, Jon, 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. https://doi.org/10.1016/S0261-5606(01)00043-2
  • Danielsson, Jon, de Haan, L., Peng, L., 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. https://doi.org/10.1006/jmva.2000.1903
  • Danielsson, Jon, Vries, C. G. de (2000). Value-at-risk and extreme returns. Annales d'Economie et de Statistique, 60(Specia), 236-269.
  • Danielsson, Jon, Jorgensen, Bjorn N., De Vries, Casper G. (1998). The value of value at risk: statistical, financial, and regulatory considerations summary of presentation. Economic Policy Review, 107-108.
    • Audio/visual resource
  • Danielsson, Jon, Giger, Peter, Joshi, Mohit, Lordan, Grace, Sanghvi, Sneha, Siddiqi, Lutfey (2020). Risk landscape: review 2020 & preview 2021. Risk Landscape: Review 2020 & Preview 2021.
    • Book
  • Danielsson, Jon, Bair, Sheila, Shin, Hyun Song, Borio, Claudio, Ratnovski, Lev, Boot, Arnoud, Goodhart, Charles, Zamil, Raihan, Hagendorff, Jens & Vallascas, Francesco et al (2015). Post-crisis banking regulation: evolution of economic thinking as it happened on Vox. Centre for Economic Policy Research (Great Britain).
  • Danielsson, Jon (2013). Global financial systems: stability and risk. Pearson (Firm).
  • Danielsson, Jon (2011). Financial risk forecasting: the theory and practice of forecasting market risk with implementation in R and Matlab. Wiley-Blackwell.
  • Benink, Harald, Danielsson, Jon, Goodhart, Charles (2009). The future of banking regulation: the Basel II Accord. John Wiley & Sons.
    • Chapter
  • Jorgensen, Bjorn N., Danielsson, Jon, de Vries, Casper G. (2004). Regulation incentives for risk management in incomplete markets. In Giorgio, Szego (Ed.), New Risk Measures in Investment and Regulation (pp. 13-31). John Wiley & Sons.
  • Danielsson, Jon, Shin, Hyun Song (2003). Endogenous risk. In Field, Peter (Ed.), Modern Risk Management: a History . Risk Books.
  • Danielsson, Jon, Goodhart, Charles (2002). The inter-temporal nature of risk. In Balling, Morten, Lierman, Frank, Mullineux, Andrew (Eds.), Technology and Finance: Challenges for Financial Markets, Business Strategies and Policy Makers (pp. 18-40). Routledge.
  • Cumperayot, Phornchanok J., Danielsson, Jon, Jorgensen, Bjorn N., Vries, Casper G. (2000). On the (Ir)relevancy of value-at-risk regulation. In Franke, Jürgen, Stahl, Gerhard, Härdle, Wolfgang (Eds.), Measuring Risk in Complex Stochastic Systems (pp. 99 - 117). Springer Science+Business Media B.V.. https://doi.org/10.1007/978-1-4612-1214-0_6
    • Conference or Workshop Item
  • Danielsson, Jon (2014-02-27) Systemic risk and financial regulations: what is the link? [Other]. European Commission (Economic Analysis), Internal Market and Services DG Conference, Brussels, Belgium, BEL.
  • Danielsson, Jon (2013-06-20) Issues in empirically modelling systemic risk [Other]. 18th Annual Workshop on the Economic Science with Heterogeneous Interacting Agents, Reykjavik, Iceland, ISL.
  • Danielsson, Jon (2013-04-12) Does risk forecasting help macroprudential policy makers? [Other]. Marie Curie ITN Conference on Financial Risk Management & Risk Reporting, Baden-Württemberg, Germany, DEU.
    • Dataset
  • Danielsson, Jon, Valenzuela, Marcela, Zer, Ilknur (2023). Replication Data for: The Impact of Risk Cycles on Business Cycles: A Historical View. [Dataset]. Harvard Dataverse. https://doi.org/10.7910/dvn/oou2ae
    • Online resource
  • Danielsson, Jon, Valenzuela, Marcela, Zer, Ilknur (2016). Low volatility makes a financial crisis more likely.
  • Danielsson, Jon (2015). Iceland illustrates why political ‘hectoring’ from foreign countries is bound to fail in Greece.
  • Danielsson, Jon, Micheler, Eva, Neugebauer, Katja, Uthemann, Andreas, Zigrand, Jean-Pierre (2015). Europe’s proposed capital markets union: how disruptive technologies will drive investment and innovation.
  • 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.
    • Working paper
  • Danielsson, Jon, Valenzuela, Marcela, 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. picture_as_pdf
  • 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. picture_as_pdf
  • Danielsson, Jon, Panayi, Efstathios, Peters, Gareth, Zigrand, Jean-Pierre (2018). Market resilience. (Systemic Risk Centre Discussion Papers 78). Systemic Risk Centre, The London School of Economics and Political Science. picture_as_pdf
  • Danielsson, Jon, Valenzuela, Marcela, 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. picture_as_pdf
  • Danielsson, Jon, Ergun, Lerby M., Haan, Laurens de, 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.
  • Danielsson, Jon, Valenzuela, Marcela, 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.
  • Danielsson, Jon, James, Kevin R., Valenzuela, Marcela, 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. picture_as_pdf
  • Danielsson, Jon, James, Kevin R., Valenzuela, Marcela, 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.
  • Danielsson, Jon, 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.
  • Danielsson, Jon, James, Kevin R., Valenzuela, Marcela, 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.
  • Boucher, Christophe M., Danielsson, Jon, Kouontchou, Patrick S., 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.
  • Danielsson, Jon, de Vries, Casper G., Jorgensen, Bjorn, Samorodnitsky, Gennady, Mandira, Sarma (2012). Fat tails, VaR and subadditivity. Jon Danielsson.
  • Danielsson, Jon, Song Shin, Hyun, Zigrand, Jean-Pierre (2012). Endogenous and systemic risk. (NBER chapters 12054). National Bureau of Economic Research.
  • Danielsson, Jon, James, Kevin R., Valenzuela, Marcela, Zer, Ilknur (2012). Dealing with systematic risk when we measure it badly. European Center for Advanced Research in Economics and Statistics.
  • Danielsson, Jon, James, Kevin R., Valenzuela, Marcela, Zer, Ilknur (2011). Model risk of systemic risk models. Jon Danielsson.
  • Danielsson, Jon, Luo, Jinhui, Payne, Richard (2011). Exchange rate determination and inter–market order flow effects. Jon Danielsson.
  • Danielsson, Jon, Song Shin, Hyun, Zigrand, Jean-Pierre (2011). Balance sheet capacity and endogenous risk. (Financial Markets Group Discussion Papers 665). Financial Markets Group, The London School of Economics and Political Science.
  • Danielsson, Jon, 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.
  • Danielsson, Jon, Zigrand, Jean-Pierre, Jorgensen, Bjørn N., Sarma, Mandira, 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.
  • Danielsson, Jon, Zigrand, Jean-Pierre (2006). Equilibrium asset pricing with systemic risk. (Financial Markets Group Discussion Papers 561). Financial Markets Group, The London School of Economics and Political Science.
  • Danielsson, Jon, Jorgensen, Bjørn N., Sarma, Mandira, 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.
  • Danielsson, Jon, Jorgensen, Bjørn N., Mandira, Sarma, Samorodnitsky, Gennady, 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.
  • Danielsson, Jon, Love, Ryan (2004). Feedback trading. (Financial Markets Group Discussion Papers 510). Financial Markets Group, The London School of Economics and Political Science.
  • Danielsson, Jon, 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.
  • Danielsson, Jon, Zigrand, Jean-Pierre (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.
  • Danielsson, Jon, Shin, Hyun Song, Zigrand, Jean-Pierre (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. picture_as_pdf
  • Zigrand, Jean-Pierre, 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.
  • Danielsson, Jon, 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. picture_as_pdf
  • Danielsson, Jon, 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. picture_as_pdf
  • Danielsson, Jon, 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. picture_as_pdf
    • Blog post
  • Danielsson, Jon (29 March 2023) The case against aggressive government action on crypto. LSE Business Review. picture_as_pdf
  • Danielsson, Jon, Macrae, Robert, Tchouparov, Nikola (15 March 2023) Lessons from the collapse of Silicon Valley Bank. LSE Business Review. picture_as_pdf