Jeremy Berkowitz

University of Houston - Department of Finance

Houston, TX 77204

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 9,696

SSRN RANKINGS

Top 9,696

in Total Papers Downloads

9,055

SSRN CITATIONS
Rank 5,550

SSRN RANKINGS

Top 5,550

in Total Papers Citations

97

CROSSREF CITATIONS

228

Scholarly Papers (17)

1.

A Coherent Framework for Stress-Testing

Number of pages: 14 Posted: 04 Jan 2000
Jeremy Berkowitz
University of Houston - Department of Finance
Downloads 3,756 (5,588)
Citation 9

Abstract:

Loading...

2.

How Accurate are Value-at-Risk Models at Commercial Banks

Number of pages: 28 Posted: 28 Aug 2001
Jeremy Berkowitz and James M. O'Brien
University of Houston - Department of Finance and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section
Downloads 1,419 (26,025)
Citation 63

Abstract:

Loading...

Market risk, portfolio model, value-at-risk, volatility

3.

Evaluating Value-at-Risk Models with Desk-Level Data

CREATES Research Paper Series 2009
Number of pages: 33 Posted: 05 May 2008
Jeremy Berkowitz, Peter Christoffersen and Denis Pelletier
University of Houston - Department of Finance, University of Toronto - Rotman School of Management and North Carolina State University - Department of Economics
Downloads 852 (53,823)
Citation 66

Abstract:

Loading...

Risk Management, Backtesting, Volatility, Disclosure

4.

Evaluating the Forecasts of Risk Models

Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series No. 99-11
Number of pages: 33 Posted: 09 Apr 1999
Jeremy Berkowitz
University of Houston - Department of Finance
Downloads 698 (70,074)
Citation 12

Abstract:

Loading...

5.

Getting the Right Option Price with the Wrong Model

Number of pages: 15 Posted: 13 Oct 2001
Jeremy Berkowitz
University of Houston - Department of Finance
Downloads 688 (71,426)
Citation 1

Abstract:

Loading...

6.
Downloads 582 (88,208)
Citation 106

Bankruptcy and Small Firms' Access to Credit

Number of pages: 31 Posted: 21 Jun 2000
Jeremy Berkowitz and Michelle J. White
University of Houston - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 493 (107,136)
Citation 4

Abstract:

Loading...

Bankruptcy and Small Firms' Access to Credit

NBER Working Paper No. w9010
Number of pages: 27 Posted: 21 Jun 2002 Last Revised: 15 Aug 2022
Jeremy Berkowitz and Michelle J. White
University of Houston - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 89 (532,621)
Citation 15

Abstract:

Loading...

7.

Bankruptcy Exemptions and the Market for Mortgage Loans

Federal Reserve Board FEDS Paper No. 98-7
Number of pages: 41 Posted: 05 Sep 1998
Richard M. Hynes and Jeremy Berkowitz
University of Virginia School of Law and University of Houston - Department of Finance
Downloads 249 (228,406)
Citation 15

Abstract:

Loading...

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Number of pages: 32 Posted: 28 Jul 1997
Jeremy Berkowitz, Francis X. Diebold and Lee E. Ohanian
University of Houston - Department of Finance, University of Pennsylvania - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 181 (306,719)
Citation 2

Abstract:

Loading...

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

NBER Working Paper No. t0174
Number of pages: 40 Posted: 14 Jul 2000 Last Revised: 25 Jun 2023
Francis X. Diebold, Lee E. Ohanian and Jeremy Berkowitz
University of Pennsylvania - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics and University of Houston - Department of Finance
Downloads 42 (786,631)

Abstract:

Loading...

9.

On the Finite Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series

Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series Paper No. 99-4
Number of pages: 37 Posted: 02 Apr 1999
Jeremy Berkowitz, Ionel Birgean and Lutz Kilian
University of Houston - Department of Finance, affiliation not provided to SSRN and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 207 (272,232)
Citation 6

Abstract:

Loading...

10.

On the Internal Inconsistency of the Black-Scholes Option Pricing Model

Number of pages: 13 Posted: 29 Apr 2008
Jeremy Berkowitz
University of Houston - Department of Finance
Downloads 143 (374,786)

Abstract:

Loading...

diffusions, arbitrage

11.

Dealer Polling in the Presence of Possibly Noisy Reporting

Number of pages: 25 Posted: 11 Sep 1998
Jeremy Berkowitz
University of Houston - Department of Finance
Downloads 125 (416,020)

Abstract:

Loading...

12.

Bootstrapping Multivariate Spectra

NYU Working Paper No. SOR-98-9
Number of pages: 11 Posted: 31 Oct 2008
Jeremy Berkowitz and Francis X. Diebold
University of Houston - Department of Finance and University of Pennsylvania - Department of Economics
Downloads 63 (640,839)
Citation 2

Abstract:

Loading...

13.

Estimating Bank Trading Risk: A Factor Model Approach

NBER Working Paper No. w11608
Number of pages: 50 Posted: 01 Nov 2005 Last Revised: 26 Dec 2022
James M. O'Brien and Jeremy Berkowitz
Board of Governors of the Federal Reserve System - Trading Risk Analysis Section and University of Houston - Department of Finance
Downloads 50 (714,240)
Citation 1

Abstract:

Loading...

14.

How Accurate are Value-at-Risk Models at Commercial Banks?

Posted: 29 Nov 2003
Jeremy Berkowitz and James M. O'Brien
University of Houston - Department of Finance and Board of Governors of the Federal Reserve System - Trading Risk Analysis Section

Abstract:

Loading...

15.

Recent Developments in Bootstrapping Time Series

Posted: 20 Dec 1996
Jeremy Berkowitz and Lutz Kilian
University of Houston - Department of Finance and Federal Reserve Banks - Federal Reserve Bank of Dallas

Abstract:

Loading...

16.

Long-Horizon Exchange Rate Predictability

Board of Governors of the Federal Reserve System Finance and Econ. Disc. Series 96-39
Posted: 17 Oct 1996
Jeremy Berkowitz and Lorenzo Giorgianni
University of Houston - Department of Finance and International Monetary Fund (IMF)

Abstract:

Loading...

17.

Generalized Spectral Estimation

Posted: 01 Oct 1996
Jeremy Berkowitz
University of Houston - Department of Finance

Abstract:

Loading...

Other Papers (1)

Total Downloads: 45
1.

How Predictable Were the Bank Failures of 2008?

Number of pages: 31 Posted: 20 Mar 2009
Jeremy Berkowitz, Praveen Kumar and Nisan Langberg
University of Houston - Department of Finance, University of Houston - Department of Finance and Tel Aviv University - Coller School of Management
Downloads 45

Abstract:

Loading...

bank failure, predictability, default probability, financial crisis