Jon Danielsson

Jon Danielsson is an economist teaching at the London School of Economics and active in the domestic and international policy debate.

In 2012, Jon became director of the Systemic Risk Centre (SRC) at the London School of Economics which was set up to study the risks that may trigger the next financial crisis and to develop tools to help policymakers and financial institutions become better prepared. The Centre is generously funded by ESRC with an annual budget of £1 million. Current events schedule can be found on its website.

His research areas include systemic risk (see What is systemic risk? on YouTube), financial risk, hedge funds, regulation of financial markets (see Gearty Grilling on YouTube), market volatility, liquidity, models of extreme market movements, and microstructure of foreign exchange markets. He has written extensively on the post-crash situation in Iceland.

Jon has authored a series of discussion papers on risk and modelsas well as appearing in notable events with major policy makers.

Critisisms of systemic risk measurements:. Danielsson et. al express concerns about systemic risk measurements, such as SRISK and CoVaR, because they are based on market outcomes that happen multiple times a year, so that the probability of systemic risk as measured does not correspond to the actual systemic risk in the financial system. Systemic financial crises happen once every 43 years for a typical OECD country and measurements of systemic risk should target that probability.

Jon has published two books on forecasting financial risk, a complete introduction to practical quantitative risk management, with a focus on market risk and also on financial stabilitywhich uses sound economic analysis to frame the discussions on the international financial system.

Jon Danielsson received his Ph.D. in the economics of financial markets from Duke University in 1991.

• "Fat Tails, VaR and Subadditivity", 2013, with Casper de Vries, Bjorn Jorgensen, Gennady Samorodnitsky and Sarma Mandira. Journal of Econometrics.
• "Risk Models-at-Risk", 2014, with Christophe M. Boucher, Patrick S. Kouontchou and Bertrand B. Maillet. Journal of Banking and Finance
• "Global financial systems: stability and risk", 2013, Pearson
• "Robust Forecasting of Dynamic Conditional Correlation GARCH Models", 2013, with Kris Boudt and Sebastien Laurent. International Journal of Forecasting
• “Endogenous and Systemic Risk", 2012, with Hyun Song Shin and Jean–Pierre Zigrand, NBER Volume on Measuring Systemic Risk, University of Chicago Press.
• "Endogenous Extreme Events and the Dual Role of Prices", 2012 with Jean–Pierre Zigrand and Hyun Song Shin, Annual Reviews in Economics, Volume 4 on the Economics of Extreme Events.
• Financial Risk Forecasting, 2011, Wiley
• Exchange Rate Determination and Inter–Market Order Flow Effects, 2012, with Jinhui Luo and Richard Payne, European Journal of Finance
• Liquidity determination in an order driven market formerly Dynamic Liquidity, 2012, with Richard Payne, European Journal of Finance.
• On the Impact of Fundamentals, Liquidity and Coordination on Market Stability, with Francisco Penaranda, 2011. International Economics Review, 52 (3). pp. 621–638.