Antje Berndt

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics

Professor in Finance

Canberra, ACT 0200

Australia

http://www.cbe.anu.edu.au/about/staff-directory/?profile=Antje-Berndt

  • Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics

SCHOLARLY PAPERS

18

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SSRN CITATIONS
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116

CROSSREF CITATIONS

139

Scholarly Papers (18)

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1.

Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit

Number of pages: 36 Posted: 28 Oct 2008 Last Revised: 09 Aug 2014
Antje Berndt and Anurag Gupta
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics and Case Western Reserve University - Department of Banking & Finance
Downloads 2,527 (6,543)
Citation 38

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Syndicated loans, Loan secondary market, Bank credit, Moral hazard, Adverse selection

2.

Measuring Default Risk Premia from Default Swap Rates and EDFs

BIS Working Paper No. 173, EFA 2004 Maastricht Meetings Paper No. 5121
Number of pages: 56 Posted: 20 Sep 2007
Antje Berndt, Rohan Douglas, Darrell Duffie, Mark Ferguson and David Schranz
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Cornell University, Stanford University - Graduate School of Business, Independent and Cornell University
Downloads 2,032 (9,301)
Citation 29

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3.

The Decline of Too Big to Fail

Number of pages: 82 Posted: 19 Dec 2019 Last Revised: 15 Mar 2021
Antje Berndt, Darrell Duffie and Yichao Zhu
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Stanford University - Graduate School of Business and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics
Downloads 803 (37,636)
Citation 11

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too big to fail, systemically important banks, government bailouts

4.

Do Equity Markets Favor Credit Markets News Over Options Market News?

AFA 2008 New Orleans Meetings Paper
Number of pages: 57 Posted: 16 Mar 2007 Last Revised: 05 Aug 2014
Antje Berndt and Anastasiya Ostrovnaya
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics and Carnegie Mellon University - David A. Tepper School of Business
Downloads 713 (44,274)
Citation 25

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Credit and equity derivatives, Lead-lag analysis, Accounting scandals, Negative Earnings, Leveraged buyouts

5.

What Broker Charges Reveal About Subprime Mortgage Credit Risk

Downloads 535 ( 64,059)
Citation 7

What Broker Charges Reveal About Subprime Mortgage Credit Risk

Number of pages: 46 Posted: 22 Mar 2010 Last Revised: 09 Jun 2020
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 427 (83,595)
Citation 7

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Mortgage brokers, Loan performance, Subprime crisis

The Role of Mortgage Brokers in the Subprime Crisis

NBER Working Paper No. w16175
Number of pages: 67 Posted: 12 Jul 2010 Last Revised: 14 Mar 2021
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 60 (438,210)

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What Broker Charges Reveal about Mortgage Credit Risk

Sveriges Riksbank Working Paper Series No. 336, Riksbank Research Paper Series No. 160
Number of pages: 63 Posted: 07 Mar 2017
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 48 (485,984)
Citation 1

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Mortgage Brokers, Loan Performance, Subprime Crisis, Credit Risk Retention, Qualied Residential Mortgages

6.

Default Risk Premia and Asset Returns

AFA 2007 Chicago Meetings Paper
Number of pages: 62 Posted: 19 Mar 2006 Last Revised: 06 Apr 2008
Antje Berndt, Aziz A. Lookman and Iulian Obreja
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Moody's Research Labs and SEC
Downloads 502 (69,408)
Citation 17

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default risk premia, asset pricing across multiple markets

7.

On Correlation and Default Clustering in Credit Markets

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 17 Mar 2009 Last Revised: 27 Oct 2009
Antje Berndt, Peter H. Ritchken and Zhiqiang Sun
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Case Western Reserve University - Department of Banking & Finance and National City Bank
Downloads 494 (70,790)
Citation 2

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Markovian HJM Models, Credit Derivatives, Default Clustering, Counterparty Credit Risk

8.

A Credit Spread Puzzle for Reduced-Form Models

Number of pages: 60 Posted: 23 Mar 2014 Last Revised: 30 Apr 2015
Antje Berndt
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 406 (89,433)
Citation 7

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CDS spreads, Expected losses, Credit risk premia, CDS liquidity, Market segmentation

9.

How Does the U.S. Government Finance Fiscal Shocks?

Downloads 379 ( 96,828)
Citation 21

How Does the U.S. Government Finance Fiscal Shocks?

American Economic Journal: Macroeconomics, 2012, vol. 4(1)
Number of pages: 56 Posted: 06 Mar 2009 Last Revised: 27 Aug 2012
Antje Berndt, Hanno N. Lustig and Sevin Yeltekin
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 362 (101,248)
Citation 6

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Fiscal shocks, fiscal adjustment, defense spending, bond returns, debt maturity

How Does the U.S. Government Finance Fiscal Shocks?

NBER Working Paper No. w16458
Number of pages: 51 Posted: 18 Oct 2010 Last Revised: 21 Jun 2021
Antje Berndt, Hanno N. Lustig and Sevin Yeltekin
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 17 (673,042)

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10.

Corporate Credit Risk Premia

Downloads 312 (120,138)
Citation 15

Corporate Credit Risk Premia

Stanford University Graduate School of Business Research Paper No. 17-71
Number of pages: 50 Posted: 29 Nov 2017 Last Revised: 31 Dec 2017
Antje Berndt, Rohan Douglas, Darrell Duffie and Mark Ferguson
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Cornell University, Stanford University - Graduate School of Business and Independent
Downloads 257 (146,435)
Citation 3

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CDS, Credit risk premia, Credit ratings

Corporate Credit Risk Premia

NBER Working Paper No. w24213
Number of pages: 51 Posted: 22 Jan 2018 Last Revised: 28 Feb 2021
Antje Berndt, Rohan Douglas, Darrell Duffie and Mark Ferguson
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Cornell University, Stanford University - Graduate School of Business and Independent
Downloads 55 (457,290)
Citation 10

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11.

Across-the-Curve Credit Spread Indices

Stanford University Graduate School of Business Research Paper No. 3884
Number of pages: 14 Posted: 31 Jul 2020
Antje Berndt, Darrell Duffie and Yichao Zhu
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Stanford University - Graduate School of Business and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics
Downloads 293 (128,420)
Citation 4

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12.

The Pricing of Risk in European Credit and Corporate Bond Markets

ECB Working Paper No. 805
Number of pages: 53 Posted: 22 Aug 2007
Antje Berndt and Iulian Obreja
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics and SEC
Downloads 207 (180,880)

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Credit default swap, default risk premium, European credit market, European corporate bond markets, risk factors

13.

Dealer Inventory, Short Interest and Price Efficiency in the Corporate Bond Market

Number of pages: 75 Posted: 04 Jun 2018 Last Revised: 13 Dec 2019
Antje Berndt and Yichao Zhu
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics
Downloads 171 (214,494)

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Corporate Bonds; Securities Lending; Dealer Inventory; Short Selling; Price Efficiency

14.

Monetary Policy, Bond Returns and Debt Dynamics

Number of pages: 40 Posted: 03 Feb 2015 Last Revised: 27 Mar 2015
Antje Berndt and Sevin Yeltekin
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics and Tepper School of Business, Carnegie Mellon University
Downloads 167 (218,804)

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monetary policy, debt dynamics, bond returns, predictability

15.

Decomposing the Returns on European Corporate Debt

ECB Working Paper No. 805
Number of pages: 48 Posted: 25 Mar 2008 Last Revised: 07 Apr 2008
Antje Berndt and Iulian Obreja
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics and SEC
Downloads 134 (261,938)
Citation 5

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European credit and bond markets, decomposing returns, risk factors

16.

How Subprime Borrowers and Mortgage Brokers Shared the Pie

Downloads 118 (287,874)
Citation 2

How Subprime Borrowers and Mortgage Brokers Shared the Pie

Number of pages: 74 Posted: 15 Oct 2013 Last Revised: 30 Jul 2014
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 93 (340,351)

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Mortgage broker compensation; Borrower valuation; Borrower informedness

How Subprime Borrowers and Mortgage Brokers Shared the Pie

Riksbank Research Paper Series No. 117, Sveriges Riksbank Working Paper Series No. 286
Number of pages: 76 Posted: 13 Feb 2015
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 25 (612,705)

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Mortgage broker compensation, Borrower Valuation, Borrower Informedness

How Subprime Borrowers and Mortgage Brokers Shared the Pie

Real Estate Economics, Vol. 44, Issue 1, pp. 87-154, 2016
Number of pages: 68 Posted: 20 Jan 2016
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
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Citation 1
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How Subprime Borrowers and Mortgage Brokers Shared the Pie

Real Estate Economics, Forthcoming
Posted: 28 Sep 2014
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia

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Mortgage broker compensation, Borrower valuation, Borrower informedness

17.

The Credit and Bond Liquidity Effects of Hedge Fund Activism

Number of pages: 32 Posted: 15 Nov 2018
Antje Berndt
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 64 (418,265)

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Hedge Fund Activism, Expected Losses, CDS Spreads, Corporate Bond Liquidity

18.

How Does Low for Long Impact Credit Risk Premia?

Number of pages: 44
Antje Berndt and Jean Helwege
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics and UC Riverside
Downloads 46

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Credit Risk Premia, Systematic Default Risk, Reaching for Yield, Ambiguity Aversion, Unconventional Monetary Policy

Other Papers (1)

Total Downloads: 50
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1.

Restructuring Risk in Credit Default Swaps: An Empirical Analysis

Number of pages: 32 Posted: 17 Mar 2006 Last Revised: 09 Aug 2014
Antje Berndt, Robert A. Jarrow and ChoongOh Kang
Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Citigroup Global Markets Japan Inc.
Downloads 50

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credit default swaps, restructuring credit event, reduced-form credit risk modeling