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Jon Danielsson

Global rank #6090 93%

Institution: London School of Economics (LSE)

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://www.riskresearch.org

First Publication: 1994

Most Recent: 2023

RePEc ID: pda10 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.67 0.67 0.00 2.01
Last 10 Years 0.00 1.34 1.17 0.00 3.85
All Time 0.00 3.75 9.38 0.00 17.14

Publication Statistics

Raw Publications 16
Coauthorship-Adjusted Count 13.70

Publications (16)

Year Article Journal Tier Authors
2023 The Impact of Risk Cycles on Business Cycles: A Historical View The Review of Financial Studies A 3
2022 Artificial intelligence and systemic risk Journal of Banking & Finance B 3
2018 Learning from History: Volatility and Financial Crises The Review of Financial Studies A 3
2016 Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report Journal of Money, Credit, and Banking B 4
2014 Risk models-at-risk Journal of Banking & Finance B 4
2013 Robust forecasting of dynamic conditional correlation GARCH models International Journal of Forecasting B 3
2013 Fat tails, VaR and subadditivity Journal of Econometrics A 5
2011 Speech at the Turner Review press conference, 18 March, Financial Services Authority, London Economic Policy B 3
2008 Equilibrium asset pricing with systemic risk Economic Theory B 2
2006 Comparing downside risk measures for heavy tailed distributions Economics Letters C 4
2006 On time-scaling of risk and the square-root-of-time rule Journal of Banking & Finance B 2
2004 The impact of risk regulation on price dynamics Journal of Banking & Finance B 3
2002 The emperor has no clothes: Limits to risk modelling Journal of Banking & Finance B 1
2002 Incentives for effective risk management Journal of Banking & Finance B 3
2002 Real trading patterns and prices in spot foreign exchange markets Journal of International Money and Finance B 2
1994 Stochastic volatility in asset prices estimation with simulated maximum likelihood Journal of Econometrics A 1