Professor Jeremy Berkowitz
Dept. of Finance
334 Melcher Hall
(713) 743-4764
email: mailto:jberkowitz@uh.edu
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,
J. International Financial
Markets, Inst. & Money,
and the Asian Journal of Finance and Accounting.
Publications and Papers
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.
Advances in Econometrics Vol. 14, T. Fomby and R.C. Hill (Eds.).
Berkowitz,
J. and F.X.Diebold (1998),
“Bootstrapping Multivariate Spectra,”