Antje Berndt

Australian National University, College of Business and Economics

Professor in Finance

Australian National University

Bldg 26C

Canberra, ACT 2601

Australia

http://https://cbe.anu.edu.au/about/staff-directory/professor-antje-berndt

  • Australian National University, College of Business and Economics

SCHOLARLY PAPERS

19

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12,054

SSRN CITATIONS
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174

CROSSREF CITATIONS

97

Scholarly Papers (19)

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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, College of Business and Economics and Case Western Reserve University - Department of Banking & Finance
Downloads 2,613 (8,894)
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, College of Business and Economics, Cornell University, Stanford University - Graduate School of Business, Independent and Cornell University
Downloads 2,230 (11,477)
Citation 29

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3.

The Decline of Too Big to Fail

Number of pages: 119 Posted: 19 Dec 2019 Last Revised: 23 Aug 2023
Antje Berndt, Darrell Duffie and Yichao Zhu
Australian National University, College of Business and Economics, Stanford University - Graduate School of Business and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics
Downloads 1,486 (21,620)
Citation 14

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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, College of Business and Economics and Carnegie Mellon University - David A. Tepper School of Business
Downloads 733 (58,916)
Citation 27

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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 644 (69,682)
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, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 472 (101,251)
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: 13 Mar 2023
Antje Berndt, Burton Hollifield and Patrik Sandås
Australian National University, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 92 (466,230)

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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, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 80 (508,899)
Citation 1

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

6.

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, College of Business and Economics, Stanford University - Graduate School of Business and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics
Downloads 534 (87,992)
Citation 9

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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, College of Business and Economics, Case Western Reserve University - Department of Banking & Finance and National City Bank
Downloads 520 (90,967)
Citation 2

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

8.

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, Aziz A. Lookman and Iulian Obreja
Australian National University, College of Business and Economics, Moody's Research LabsAmazon Capital Services and SEC
Downloads 520 (90,967)
Citation 17

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default risk premia, asset pricing across multiple markets

9.

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, College of Business and Economics
Downloads 461 (105,213)
Citation 7

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

10.

Corporate Credit Risk Premia

Downloads 445 (109,621)
Citation 27

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, College of Business and Economics, Cornell University, Stanford University - Graduate School of Business and Independent
Downloads 351 (142,641)
Citation 5

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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: 27 Feb 2023
Antje Berndt, Rohan Douglas, Darrell Duffie and Mark Ferguson
Australian National University, College of Business and Economics, Cornell University, Stanford University - Graduate School of Business and Independent
Downloads 94 (459,586)
Citation 10

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11.

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

Downloads 416 (118,671)
Citation 26

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, College of Business and Economics, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 382 (129,777)
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: 22 Jun 2023
Antje Berndt, Hanno N. Lustig and Sevin Yeltekin
Australian National University, College of Business and Economics, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 34 (761,453)

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12.

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, College of Business and Economics and Australian National University (ANU), Research school of Finance, Actuarial Studies and Applied Statistics
Downloads 247 (206,698)
Citation 1

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

13.

Risk Aversion in Corporate Bond Markets

Number of pages: 58 Posted: 11 Oct 2021 Last Revised: 12 May 2022
Antje Berndt, Ilya Dergunov and Jean Helwege
Australian National University, College of Business and Economics, HSE University and UC Riverside
Downloads 242 (210,819)

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Risk aversion, corporate bonds, monetary policy, reaching for yield, government interventions

14.

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, College of Business and Economics and SEC
Downloads 226 (225,335)

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

15.

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, College of Business and Economics and Tepper School of Business, Carnegie Mellon University
Downloads 194 (259,290)

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monetary policy, debt dynamics, bond returns, predictability

16.

How Subprime Borrowers and Mortgage Brokers Shared the Pie

Downloads 156 (313,204)
Citation 1

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, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 118 (390,836)

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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, College of Business and Economics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 38 (731,601)
Citation 1

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Mortgage broker compensation, Borrower Valuation, Borrower Informedness

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, College of Business and Economics, 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.

Decomposing the Returns on European Corporate Debt

ECB Working Paper No. 805
Number of pages: 48 Posted: 25 Mar 2008 Last Revised: 17 Nov 2021
Antje Berndt and Iulian Obreja
Australian National University, College of Business and Economics and SEC
Downloads 151 (321,939)
Citation 15

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European credit and bond markets, decomposing returns, risk factors

18.

More Debt More Leverage?

Number of pages: 61 Posted: 20 Oct 2022 Last Revised: 21 Nov 2022
Antje Berndt, Bruce D. Grundy and Yue Wang
Australian National University, College of Business and Economics, RSFAS Australian National University and Australian National University (ANU)
Downloads 133 (355,830)

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Corporate debt levels, leverage, asset returns, payout yields, investment yields

19.

The Credit and Bond Liquidity Effects of Hedge Fund Activism

Number of pages: 32 Posted: 15 Nov 2018
Antje Berndt
Australian National University, College of Business and Economics
Downloads 103 (428,890)

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

Other Papers (1)

Total Downloads: 64
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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, College of Business and Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Citigroup Global Markets Japan Inc.
Downloads 64

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