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.


Click here for CV


Publications and Papers


Berkowitz, J., Peter F. Christoffersen and Denis Pelletier (2014), “Backtesting Expected Shortfall,”

      University of Houston, Working Paper.


Berkowitz, J. (2012), “A Coherent Framework for Stress Testing,” in Financial Risk

      Measurement and Management, Ed. F.X. Diebold, Northampton, Mass.: Edward Elgar.


Berkowitz, J., Peter F. Christoffersen and Denis Pelletier (2011), “Evaluating Value-at-Risk Models with

      Desk-Level Data,” Management Science


Berkowitz, J. (2010), “Valuing Equity when Discounted Cash Flows are Markov,”

            Handbook of Financial Econometrics, Greg N. Gregoriou

            and Razvan Pascalau (eds.) Chapman-Hall/Taylor and Francis: London UK


Berkowitz, J. (2010), “On Justifications for the ad hoc Black-Scholes Method of Option Pricing,”

Studies in Nonlinear Dynamics and Econometrics.


Berkowitz, J., P. Kumar, and N. Langberg (2010) “Price Discovery and Dynamic Information Revelation in

the Financial Crisis of 2008,” University of Houston Working Paper.



Berkowitz, J. (2008), “On the Impossibility of a Poincaré Invariant Vacuum State with Unit Norm,”

    arXiv Preprint, arXiv:0802.0216



Berkowitz, J. (2007), “Testing Assumptions,” in J. Danielsson, The Value-at-Risk Reference: Key Issues

in the Implementation of Market Risk, p.441-454, Risk Books: London.


O'Brien, J. and J. Berkowitz (2006), "Bank Trading Revenues, VaR and Market Risk"

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


Berkowitz, J. and Michelle White (2004), "Bankruptcy and Small Firms' Access to Credit",

    Rand Journal of Economics, 35(1).


Berkowitz, J. (2004) "A Coherent Framework for Stress-Testing"

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


Berkowitz, J. and Jim O'Brien (2002), “How Accurate are the Value-at-Risk Models at Commercial

Banks?”, Journal of Finance, 57, 1093-1112.


Berkowitz, J. (2002), “Testing Distributions”, Risk, June, 77-80.


Berkowitz, J. (2001), “Testing Density Forecasts with Applications to Risk Management,”

    Journal of Business and Economic Statistics, 19, 465-474.

    Matlab Code for LR Statistics


Berkowitz, J. (2001), “Generalized Spectral Estimation of the Consumption-Based Asset Pricing Model,”

    Journal of Econometrics, 104, 269-288.


Berkowitz, J. and Lorenzo Giorgianni (2001),“Long Horizon Exchange Rate Predictability?” 

    Review of Economics and Statistics, 83, 81-91.


Berkowitz, J. (2000), “Breaking the Silence,” Risk, October, 105-108.


Berkowitz, J. (2000), “A Coherent Framework for Stress Testing,” Journal of Risk, 2, 1-11.


Berkowitz, J. and Lutz Kilian (2000), “Recent Developments in Bootstrapping Time Series,”

    Econometric Reviews (January 2000).


Berkowitz, J. and Rich Hynes (1999), “Bankruptcy Exemptions and the Market for Mortgage Loans,”

    Journal of Law and Economics, 42, 809-830.


Berkowitz, J. (1999), “Dealer Polling in the Presence of Possibly Noisy Data,”

    Journal of Fixed Income, 9, 47-54.


Diebold, F.X., L. Ohanian, J. Berkowitz (1998), “Dynamic Equilibrium Economies,”

    Review of Economic Studies, 65, 433-451.


Berkowitz, J., I.Birgean, L. Kilian (1999) “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.).


Berkowitz, J. and F.X.Diebold (1998), “Bootstrapping Multivariate Spectra,”

    Review of Economics and Statistics, 80, 664-666.