Antje Berndt

Poole College of Management, NC State University

Associate Professor of Finance

Hillsborough Street

Raleigh, NC 27695

United States

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 4,635

SSRN RANKINGS

Top 4,635

in Total Papers Downloads

6,985

CITATIONS
Rank 2,786

SSRN RANKINGS

Top 2,786

in Total Papers Citations

200

Scholarly Papers (12)

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
Poole College of Management, NC State University and Case Western Reserve University - Department of Banking & Finance
Downloads 2,113 (4,344)
Citation 27

Abstract:

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
Poole College of Management, NC State University, Cornell University, Stanford University - Graduate School of Business, affiliation not provided to SSRN and Cornell University
Downloads 1,401 (7,771)
Citation 132

Abstract:

3.

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
Poole College of Management, NC State University and Carnegie Mellon University - David A. Tepper School of Business
Downloads 616 (29,878)
Citation 11

Abstract:

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

4.

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
Poole College of Management, NC State University, AIG and SEC
Downloads 449 (47,301)
Citation 13

Abstract:

default risk premia, asset pricing across multiple markets

5.

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
Poole College of Management, NC State University, Case Western Reserve University - Department of Banking & Finance and National City Bank
Downloads 444 (47,676)
Citation 2

Abstract:

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

6.
Downloads 432 ( 51,390)
Citation 11

What Broker Charges Reveal About Mortgage Credit Risk

AFA 2011 Denver Meetings Paper
Number of pages: 61 Posted: 22 Mar 2010 Last Revised: 26 Sep 2014
Antje Berndt, Burton Hollifield and Patrik Sandås
Poole College of Management, NC State University, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 398 (56,234)
Citation 10

Abstract:

Mortgage brokers, Loan performance, Subprime crisis, Credit risk retention, Qualified residential mortgages

The Role of Mortgage Brokers in the Subprime Crisis

NBER Working Paper No. w16175
Number of pages: 67 Posted: 12 Jul 2010
Antje Berndt, Burton Hollifield and Patrik Sandås
Poole College of Management, NC State University, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 34 (371,585)
Citation 11

Abstract:

7.
Downloads 351 ( 65,860)
Citation 2

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
Poole College of Management, NC State University, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 338 (68,319)
Citation 2

Abstract:

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
Antje Berndt, Hanno N. Lustig and Sevin Yeltekin
Poole College of Management, NC State University, Stanford Graduate School of Business and Carnegie Mellon University - David A. Tepper School of Business
Downloads 13 (480,013)
Citation 2

Abstract:

8.

A Credit Spread Puzzle for Reduced-Form Models

Number of pages: 60 Posted: 23 Mar 2014 Last Revised: 30 Apr 2015
Antje Berndt
Poole College of Management, NC State University
Downloads 203 (81,131)

Abstract:

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

9.

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
Poole College of Management, NC State University and SEC
Downloads 185 (125,327)
Citation 1

Abstract:

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

10.

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
Poole College of Management, NC State University and SEC
Downloads 115 (189,394)

Abstract:

European credit and bond markets, decomposing returns, risk factors

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
Poole College of Management, NC State University, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 69 (269,380)

Abstract:

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
Poole College of Management, NC State University, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 17 (457,188)

Abstract:

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
Poole College of Management, NC State University, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia
Downloads 0

Abstract:

How Subprime Borrowers and Mortgage Brokers Shared the Pie

Real Estate Economics, Forthcoming
Posted: 28 Sep 2014
Antje Berndt, Burton Hollifield and Patrik Sandås
Poole College of Management, NC State University, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia

Abstract:

Mortgage broker compensation, Borrower valuation, Borrower informedness

12.

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
Poole College of Management, NC State University and Tepper School of Business, Carnegie Mellon University
Downloads 56 (173,581)

Abstract:

monetary policy, debt dynamics, bond returns, predictability

Other Papers (1)

Total Downloads: 27    Citations: 10
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
Poole College of Management, NC State University, Cornell University - Samuel Curtis Johnson Graduate School of Management and Citigroup Global Markets Japan Inc.
Downloads 15
Citation 10

Abstract:

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