Professor Jeremy Berkowitz
Dept.
of Finance
University
of Houston
334
Melcher Hall
Houston,
TX 77204-6021
(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.
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.