• April Seminar – Learning from History: Volatility and Financial Crises

    • Speaker: Jon Danielsson | Associate Professor of Finance at LSE 
      Date: 11th April 2017
      Place: BlackRockTopic: Learning from History: Volatility and Financial Crises. by Jon Danielsson, Marcela Valenzuela and Ilknur Zer
    • Click the link for the presentation  2017April_JonDanielsson

    • Summary: 
      The authors study the effects of volatility on the probability of financial crises by constructing a cross-country database spanning 211 years. We find that volatility is not a significant predictor of crises whereas unexpected high and low volatilities are. Low volatility leads to banking crises and both high and low volatilities make stock market crises more likely, while volatility in any form has little impact on currency crises. The volatility-crisis relationship becomes stronger when financial markets are more prominent and less regulated. Finally, low-risk environments are conducive to greater buildup of risk-taking, providing empirical support for the Minsky hypothesis.
    • About Jon Danielsson
      Jon Danielsson is one of the two Directors of the London School of Economics Systemic Risk Centre. He holds a PhD in economics from Duke University and is currently Associate Professor of Finance at LSE. His research interests cover systemic risk, financial risk, econometrics, economic theory and financial crisis.Jon has written two books, Financial Risk Forecasting and Global Financial Systems: Stability and Risk and published a number of articles in leading academic journals. His research webpage is here, and LSE page is here. Jon’s blogs can be found on VoxEU.org.
    • This seminar is kindly hosted by Blackrock
      The London Quant Group is very grateful to BlackRock for hosting this event
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