Jeremy Berkowitz

University of Houston - Department of Finance

Houston, TX 77204

United States

  • University of Houston - Department of Finance

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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in Total Papers Citations

97

CROSSREF CITATIONS

228

Scholarly Papers (17)

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1.

A Coherent Framework for Stress-Testing

Number of pages: 14 Posted: 04 Jan 2000
Jeremy Berkowitz
University of Houston - Department of Finance
Downloads 3,589 (4,884)
Citation 8

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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 1,396 (21,896)
Citation 56

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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 811 (47,527)
Citation 60

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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 677 (60,459)
Citation 11

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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 669 (61,458)
Citation 1

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6.

Bankruptcy and Small Firms' Access to Credit

Downloads 558 (77,271)
Citation 102

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 481 (91,903)
Citation 4

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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 77 (479,674)
Citation 15

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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 236 (200,488)
Citation 13

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8.

Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

Downloads 218 (216,288)
Citation 4

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 179 (258,311)
Citation 1

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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 Dec 2022
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 39 (663,096)

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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 193 (242,799)
Citation 6

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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 138 (320,273)

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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 117 (362,201)

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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 57 (554,034)
Citation 2

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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 44 (619,063)

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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

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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

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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)

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17.

Generalized Spectral Estimation

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

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Other Papers (1)

Total Downloads: 37
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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 University of Houston - C.T. Bauer College of Business
Downloads 37

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bank failure, predictability, default probability, financial crisis