Jon Danielsson

Jon Danielsson is one of the two Directors of the Centre. He holds a PhD in economics from Duke University and is currently Associate Professor of Finance at LSE.  His research interests cover systemic risk, financial risk, econometrics, economic theory and financial crisis.

Jon has written two books, Financial Risk Forecasting and Global Financial Systems: Stability and Risk and published a number of articles in leading academic journals.

His main research webpage is http://modelsandrisk.org/ , whilst his LSE staff page is here. Jon’s blogs can be found on VoxEU.org.

Tel: +44 (0)20 7852 3544

Publications

Opinion Pieces
Jun 2018
Are cryptocurrencies the future of money, Ponzi schemes, speculators’ dreams, or just a prosperity gospel? While there is money to be made in the short run, this column argues that cryptocurrencies are lousy investments and will eventually reach a...
Opinion Pieces
May 2018
Volatility is only a good measure of risk when shocks are distributed normally. This post argues that extreme value theory offers a better, if imperfect alternative. Even better would be to use more fundamental analysis.
Discussion Papers
Apr 2018
DP 78
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity ‘droughts.’ We...
Opinion Pieces
Mar 2018
Reliable indicators of future financial crises are important for policymakers and practitioners. While most indicators consider an observation of high volatility as a warning signal, this column argues that such an alarm comes too late, arriving...
Discussion Papers
Feb 2018
DP 57
We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample...
Opinion Pieces
Feb 2018
Ron Anderson, Chikako Baba, Jon Danielsson, Heedon Kang, Udaibir S. Das and Miguel Segoviano
Current stress testing of banks is focused on the resiliency of individual banks to exogenous shocks. This column describes how the next generation of macroprudential stress tests aim to capture the endogenous nature of systemic risk caused by the...
Opinion Pieces
Feb 2018
Cryptocurrencies are supposedly a new and superior form of money and investments – the way of the future. The author of this column, however, does not see the point of cryptocurrencies, finding them no better than existing fiat money or good...
Reports
Feb 2018
Ron Anderson, Chikako Baba, Jon Danielsson, Udaibir S. Das, Heedon Kang and Miguel Segoviano
Non-supervisory bank stress testing is becoming firmly embedded in the post-crisis macroprudential frameworks of major financial sectors around the world. The Monetary and Capital Markets Department (MCM) of the International Monetary Fund (IMF) and...
Opinion Pieces
Nov 2017
Artificial intelligence is increasingly used to tackle all sorts of problems facing people and societies. This column considers the potential benefits and risks of employing AI in financial markets. While it may well revolutionise risk management...
Special Papers
Nov 2017
SP 13
Artificial intelligence (AI) is rapidly changing how financial institutions are operated and regulated. The authors discuss the benefits and danger that AI may bring to the objectives of risk management and macroprudential supervision.

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