Jon Danielsson

Artificial intelligence and financial crises

The calming of short-term market fears and its long-term consequences: The central banks' dilemma

On the use of artificial intelligence in financial regulations and the impact on financial stability

The Impact of Risk Cycles on Business Cycles: A Historical View

Artificial intelligence and systemic risk

Cryptocurrencies: Policy, economics and fairness

Market Resilience

Designating market maker behaviour in Limit Order Book markets

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Learning from History: Volatility and Financial Crises

Can we prove a bank guilty of creating systemic risk? A minority report

Model risk of risk models

Why risk is so hard to measure

Challenges in implementing worst-case analysis

Tail Index Estimation: Quantile Driven Threshold Selection

Pitfalls in Worst Case Analysis

Risk models--at--risk

Robust forecasting of dynamic conditional correlation {GARCH} models

Endogenous and systemic risk

Procyclical leverage and endogenous risk

Regime switches in the volatility and correlation of financial institutions

Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk

Fat tails, {VaR} and subadditivity

Liquidity determination in an order driven market

Exchange rate determination and inter--market order flow effects

Endogenous extreme events and the dual role of prices

On the impact of fundamentals, liquidity and coordination on market stability

Balance sheet capacity and endogenous risk

Lessons from a collapse of a financial system

On the efficacy of financial regulations

Risk appetite and endogenous risk

Collapse of a country

Hagkerfi bíður skipbrot

Dáleidd af bankastarfsemi

Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation

Complexity kills

Consistent Measures of Risk

Equilibrium asset pricing with systemic risk

Blame the Models

Regulating hedge funds

Currency crises, (hidden) linkages, and volume

Highwaymen or heroes: {S}hould hedge funds be regulated?

Feedback trading

On time-scaling of risk and the square-root-of-time rule

Comparing downside risk measures for heavy tailed distributions

Countercyclical Capital and Currency Dependence

The impact of risk regulation on price dynamics

Anatomy of a market crash: A market microstructure analysis of the Turkish overnight liquidity crisis

On the feasibility of risk based regulation

Regulation incentives for risk management in incomplete markets

What happens when you regulate risk? Evidence from a simple equilibrium model

Where do extremes matter?

Asset Price Dynamics with Value-at-Risk Constrained Traders

Real trading patterns and prices in spot foreign exchange markets

The Emperor has no clothes: Limits to risk modelling

Incentives for effective risk management

The inter--temporal nature of risk

Endogenous risk

Measuring and explaining liquidity on an electronic limit order book: Evidence from {Reuters} {D}2000-2

Using a bootstrap method to choose the sample fraction in tail index estimation

An academic response to {Basel} {II}

The cost of conservatism: Extreme returns, Value-at-Risk, and the {Basle} multiplication factor

The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations