Jeremy Berkowitz

University of Houston - Department of Finance

Houston, TX 77204

United States

SCHOLARLY PAPERS

17

DOWNLOADS
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in Total Papers Downloads

8,244

SSRN CITATIONS
Rank 4,205

SSRN RANKINGS

Top 4,205

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 3,397 (4,020)
Citation 9

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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 1,358 (17,918)
Citation 51

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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 763 (40,881)
Citation 55

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Risk Management, Backtesting, Volatility, Disclosure

4.

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 649 (50,753)
Citation 1

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5.

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 643 (51,362)
Citation 11

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6.
Downloads 533 ( 65,132)
Citation 101

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 469 (75,618)
Citation 14

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Bankruptcy and Small Firms&Apos; Access to Credit

NBER Working Paper No. w9010
Number of pages: 27 Posted: 21 Jun 2002 Last Revised: 14 Feb 2021
Jeremy Berkowitz and Michelle J. White
University of Houston - Department of Finance and University of California, San Diego (UCSD) - Department of Economics
Downloads 64 (428,201)
Citation 15

Abstract:

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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 222 (171,231)
Citation 15

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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 159 (230,904)
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 Jun 2010
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 31 (579,039)
Citation 1

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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 162 (226,804)
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 128 (273,848)

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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 110 (305,383)

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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 51 (470,124)
Citation 2

Abstract:

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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: 21 Sep 2010
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 38 (527,872)

Abstract:

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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

Abstract:

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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: 32
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 32

Abstract:

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bank failure, predictability, default probability, financial crisis