Professor Jeremy Berkowitz

Professor Jeremy Berkowitz

Dept. of Finance

University of Houston

334 Melcher Hall

Houston, TX 77204-6021

(713) 743-4764

Associate Professor of Finance at the C.T. Bauer College of Business, University of Houston.

Professor Berkowitz is currently on the Editorial Board of the Journal of Risk, Studies in Nonlinear Dynamics and Econometrics, and the J. International Financial Markets, Inst. & Money.

Click here for CV

Summer 4 Financial Risk Management

arXiv Preprints

Why does the Vacuum Energy need to be Renormalized in QFT? arXiv:0805.3547

On the Impossibility of a Poincaré Invariant Vacuum State with Unit Norm arXiv:0802.0216

Working Papers

On the Internal Inconsistency of the Black-Scholes Option Pricing Model and 12/07 Econometrica Referee Report

Publications

O'Brien, J. and J. Berkowitz, "Bank Trading Revenues, VaR and Market Risk."

In R.Stulz, M.Carey Eds, Risks of Financial Institutions, NBER (2005)

Berkowitz, J. and Michelle White, "Bankruptcy and Small Firms' Access to Credit",

Rand Journal of Economics (spring 2004)

Berkowitz, J. "A Coherent Framework for Stress-Testing"

In P. Jorion, Innovations in Risk Management: Seminal Papers from the Journal of Risk

Berkowitz, J. and Jim O'Brien,"How Accurate are the Value-at-Risk Models at Commercial Banks"

Journal of Finance (June 2002)

Berkowitz, J., "Testing Distributions" Risk (May 2002)

Berkowitz, J., "Testing Density Forecasts with Applications to Risk Management"

Journal of Business and Economic Statistics (October 2001) Matlab Code for LR Statistics

Berkowitz, J., "Generalized Spectral Estimation of the Consumption-Based Asset Pricing Model"

Journal of Econometrics (September 2001)

Berkowitz, J. and Lorenzo Giorgianni, "Long-horizon Exchange Rate Predictability?"

Review of Economics and Statistics (February 2001)

Berkowitz, J., "Breaking the Silence" Risk (October 2000).

Berkowitz, J., "A Coherent Framework for Stress Testing" Journal of Risk (Winter 2000).

Berkowitz, J. and Lutz Kilian, "Recent Developments in Bootstrapping Time Series"

Econometric Reviews (January 2000).

Berkowitz, J. and Rich Hynes, "Bankruptcy Exemptions and the Market for Mortgage Loans"

Journal of Law and Economics (October 1999).

Berkowitz, J., "Dealer Polling in the Presence of Possibly Noisy Data"

Journal of Fixed Income (June 1999).

Diebold, F.X., L. Ohanian, J.Berkowitz, "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data"

Review of Economic Studies (July 1998)

Berkowitz, J. and F.X.Diebold, "Bootstrapping Multivariate Spectra"

Review of Economics and Statistics (November 1998).

Berkowitz, J., L.Kilian, I.Birgean, "On the Finite Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series" in

Advances in Econometrics Vol. 14, T. Fomby and R.C. Hill (Eds.).