Overview
Jón Daníelsson is a financial economist (Reader, London School of Economics; director of the LSE Systemic Risk Centre), known for work on financial risk modeling, systemic risk, extreme value theory in finance, and the critique of risk-regulation practice.
Key Contributions / Features
- Time-scaling of risk (Danielsson-Zigrand 2006): with Jean-Pierre Zigrand, showed the square-root-of-time rule systematically underestimates risk under jump diffusion (Value at Risk).
- Work on extreme value theory for VaR, the endogeneity of risk, and critiques of the Basel/market-risk regulatory framework; author of Financial Risk Forecasting.
Related