People

Professor Antje Berndt

Research School of Finance, Actuarial Studies & Statistics

Position: Head of Finance
Email: antje.berndt@anu.edu.au
Phone: +61 2 612 54560
Office: Room 4.44, CBE Bld (26C)
CV: CV (.PDF, 117KB)

Professor Antje Berndt

Grants

2018-2020 ANU Futures Scheme

Publications

Corporate Credit Risk Premia (internet appendix) with Rohan Douglas, Darrell Duffie and Mark Ferguson. Review of Finance 22: 419-454, 2018. (Lead article, Managing Editor's Blog, Runner up 2018 Spängler IQAM award for the best investments paper)

How Subprime Borrowers and Mortgage Brokers Shared the Pie with B. Hollifield and P. Sandas, Real Estate Economics 44: 87-154, 2016 (Best Paper Award, 2013 Auckland Finance Meeting)

A Credit Spread Puzzle for Reduced-Form Models (internet appendix), Review of Asset Pricing Studies 5:48-91, 2015

Monetary Policy, Bond Returns and Debt Dynamics (internet appendix) with Sevin Yeltekin, Journal of Monetary Economics 73: 119-136, 2015

Do Equity Markets Favor Credit Market News Over Options Market News? with A. Ostrovnaya, Quarterly Journal of Finance 4: 1450006 (51 pages), 2014

How Does the U.S. Government Finance Fiscal Shocks? with H. Lustig and S. Yeltekin, American Economic Journal: Macroeconomics 4:69-104, 2012 (Second place in 2010 Weil Prize, Carnegie Mellon University)

On Correlation and Default Clustering in Credit Markets with Peter Ritchken and Zhiqiang Sun, Review of Financial Studies 23: 2680-2729, 2010

Decomposing European CDS Returns with Iulian Obreja, Review of Finance 14: 189-233, 2010

Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit with Anurag Gupta, Journal of Monetary Economics 56: 725-743, 2009

Restructuring Risk in Credit Default Swaps: An Empirical Analysis with Robert Jarrow and ChoongOh Kang, Stochastic Processes and their Applications 117: 1724-1749, 2007

Book Chapter

The Pitfalls of Originate-to-Distribute in Bank Lending with Anurag Gupta, Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future edited by R. Kolb, John Wiley & Sons, 2010

Updated:   21 April 2015 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team