riskresearch.org
Endogenous extreme events and the dual role of prices
http://www.riskresearch.org/papers/DanielssonShinZigrand2011a
Endogenous extreme events and the dual role of prices. Daníelsson, J., H. Shin, and J.-P. Zigrand (2012). Endogenous extreme events and the dual role of prices. Annual Reviews. Download from www.RiskResearch.org.
riskresearch.org
Liquidity determination in an order driven market
http://www.riskresearch.org/papers/DanielssonPayne2012
Liquidity determination in an order driven market. Daníelsson, J. and R. Payne (2012). Liquidity determination in an order driven market. European Journal of Finance. 64;ARTICLE{DanielssonPayne2012, author = {J{ 'o}n Dan{ ' i}elsson and Richard Payne}, title = {Liquidity determination in an order driven market}, journal = "European Journal of Finance", year = 2012, url = {RiskResearch.org}, }.
riskresearch.org
Fat tails, VaR and subadditivity
http://www.riskresearch.org/papers/DanielssonVriesJorgensenSamorodnitskyMandira2012
Fat tails, VaR and subadditivity. Daníelsson, J., C. de Vries, B. Jorgensen, G. Samorodnitsky, and S. Mandira (2012, March). Fat tails, VaR and subadditivity. Journal of. 64;ARTICLE{DanielssonVriesJorgensenSamorodnitskyMandira2012, author = {J{ 'o}n Dan{ ' i}elsson and Casper de Vries and Bjorn Jorgensen and Gennady Samorodnitsky and Sarma Mandira}, title = {Fat tails, {VaR} and subadditivity}, journal = "Journal of Econometrics", year = 2012, url = {RiskResearch.org}, }.
modelsandrisk.org
What the Swiss FX shock says about risk models
http://www.modelsandrisk.org/Swiss
The Daily Risk Forecast. Learning from History: Volatility and Financial Crises. What the Swiss FX shock says about risk models. Model risk of risk models. Why risk is so hard to measure. An evaluation of the Basel III market risk proposals. On fiscal and monetary policy in Iceland. What the Swiss FX shock says about risk models. This page accompanies the VoxEU. Article What the Swiss FX shock says about risk models. On January 18, 2015. A daily updated franc risk is shown on my risk forecast page. Why t...
modelsandrisk.org
The daily risk forecast
http://www.modelsandrisk.org/forecast
The Daily Risk Forecast. Learning from History: Volatility and Financial Crises. What the Swiss FX shock says about risk models. Model risk of risk models. Why risk is so hard to measure. An evaluation of the Basel III market risk proposals. On fiscal and monetary policy in Iceland. Daily risk forecast for Tuesday, August 30. The Daily Risk page shows one day risk forecasts for a range of assets and models. The forecasts are updated daily as the closing prices become available. 99% VaR and ES.
modelsandrisk.org
Blogs and tweets
http://www.modelsandrisk.org/blog
The Daily Risk Forecast. Learning from History: Volatility and Financial Crises. What the Swiss FX shock says about risk models. Model risk of risk models. Why risk is so hard to measure. An evaluation of the Basel III market risk proposals. On fiscal and monetary policy in Iceland. When Economic Doomsayers Stumble: Cautionary Tales From Brexit, Grexit and U.S. Budget Battles https:/ t.co/O430FoGNa1. RT @peter tl: Singapore Exchange joins race to the bottom. https:/ t.co/RBKpEju7sk. Negative rates commun...
modelsandrisk.org
Why risk is so hard to measure
http://www.modelsandrisk.org/VaR-and-ES
The Daily Risk Forecast. Learning from History: Volatility and Financial Crises. What the Swiss FX shock says about risk models. Model risk of risk models. Why risk is so hard to measure. An evaluation of the Basel III market risk proposals. On fiscal and monetary policy in Iceland. Why Risk is so Hard to Measure. Ratio of ES to VaR. ES to VaR plots. ES and VaR performance. The results in the paper are reported slightly differently, there we adjusted the numbers by the true values, but not below.
modelsandrisk.org
Model risk of risk models
http://www.modelsandrisk.org/modelrisk
The Daily Risk Forecast. Learning from History: Volatility and Financial Crises. What the Swiss FX shock says about risk models. Model risk of risk models. Why risk is so hard to measure. An evaluation of the Basel III market risk proposals. On fiscal and monetary policy in Iceland. Model risk of risk models. Kevin R. James. This version: June 2015. Results for individual firms.
riskresearch.org
Risk models-at-risk
http://www.riskresearch.org/papers/BoucherDanielssonKouontchouMaille2014
Boucher, C., M., J. Danielsson, S. Kouontchou, P., and B. Maillet, B. (2014, July). Risk models at risk. Journal of Banking and Finance. 64;ARTICLE{BoucherDanielssonKouontchouMaille2014, author = {Boucher, C., M. and Danielsson, J. and Kouontchou, P., S. and Maillet, B., B.}, title = {Risk models- at- risk}, journal = "Journal of Banking and Finance", volume = {44}, pages = {72- 92}, year = 2014, url = {RiskResearch.org}, }.
