Jon Danielsson's Research Papers
2025
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Artificial intelligence and financial crises
2024
2018
2017
2013
2012
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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 -
Exchange rate determination and inter--market order flow effects -
Liquidity determination in an order driven market -
Endogenous extreme events and the dual role of prices
2011
2009
2008
2006
2003
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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?
2002
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Measuring and explaining liquidity on an electronic limit order book: Evidence from {Reuters} {D}2000-2 -
Real trading patterns and prices in spot foreign exchange markets -
Endogenous risk -
Asset Price Dynamics with Value-at-Risk Constrained Traders -
The inter--temporal nature of risk -
The Emperor has no clothes: Limits to risk modelling -
Incentives for effective risk management