Jon Danielsson

Career

Danielsson research areas include systemic risk, financial risk, hedge funds, regulation of financial markets, 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.

In 2012, he 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 another financial crisis and to develop tools to help policymakers and financial institutions become better prepared. The Centre is funded by ESRC with an annual budget of £1 million.

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

Criticisms of systemic risk measurements

Danielsson and his colleagues have expressed 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. They argue that systemic financial crises happen once every 43 years for a typical OECD country and that measurements of systemic risk should target that probability.

Danielsson has published two books on forecasting financial risk. One is an introduction to practical quantitative risk management with a focus on market risk, while the other is on financial stability and uses economic analysis to frame the discussions on the international financial system.

Recent publications