Writing skills
I like Refn's work quite a lot but I wonder if he could write a screenplay that focuses heavily on long intelectual conversations. If so, he could be pretty much be on the same level as Paul Thomas Anderson, who also has a taste for violence but his brutality is more subtle and characters more fleshed-out.
Wouldn't you like to see Nicolas challenging himself with something different? Perhaps his characters could be high-society, or even a political story?
P.s. - P.T. Anderson being a better filmmaker is only my opinion and I can understand why some might like Refn better