Antje Berndt

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Assistant Professor of Finance

Teaching and Research Interests:

• Financial econometrics; asset pricing; credit risk; risk management for financial institutions.

Website and/or personal homepage:
http://www.andrew.cmu.edu/user/aberndt/

Published Papers: 

• Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit
  Journal of Monetary Economics, forthcoming.
  (With: A. Gupta)
  
  
• Restructuring Risk in Credit Default Swaps: An Empirical Analysis
  Stochastic Processes and their Applications 117, 11/01/2007; 1724-1749.
  (With: R. Jarrow, ChoongOh Kang)
  
  

Working Papers: 

• Does the US Government Hedge Against Fiscal Risk?
  March, 2009.
  (With: Hanno Lustig, Sevin Yeltekin)
  
  
• On Correlation Effects and Default Clustering in Credit Models
  September, 2008.
  (With: Peter Ritchken, Zhiqiang Sun)
  
  
• Do Equity Markets Favor Credit Market News Over Options Market News?
  August, 2008.
  (With: Anastasiya Ostrovnaya)
  
  
• Measuring Default Risk Premia from Default Swap Rates and EDFs
  July, 2008.
  (With: R. Douglas, D. Duffie, M. Ferguson)
  
  
• Default Risk Premia and Asset Returns
  May, 2008.
  (With: Aziz Lookman, Iulian Obreja)
  
  
• Decomposing the Returns on European Debt
  March, 2008.
  (With: Iulian Obreja)
  
  
• Specification Analysis of Reduced-Form Credit Risk Models
  April, 2007.
  
  
• Estimating the Term Structure of Yield Spreads from Callable Corporate Bond Price Data
  December, 2004.
  
  

Awards:

• CART Faculty Grant, Tepper School of Business - 2008-2009
• GARP Risk Management Research Award - 2008
• PNC Professorship in Computational Finance - 2007-2009
• CART Research Frontier Award - 2007
• American Finance Association, presented paper 'Default & Risk Premia and Asset Returns' - 2007
• Berkman Faculty Development Grant - 2006
• Moody’s Research Grant - 2002-2003
• Teaching Award, Stanford University - 2001-2002
• Fulbright Enterprise Scholarship - 1998-1999

Consulting:

• National Science Foundation, Review Panel Member
• Quantifi Solutions

Other Professional Activities:

• Invited cluster chair, Financial Engineering, INFORMS Annual Meeting (2004)
• Co-creator, Financial Engineering Seminar, Cornell University (2004-2005)
• Western Finance Association Meeting, presented the paper "Measuring Default Risk Premia from Default Swap Rates and EDF's (2006)
• American Finance Association, presented the paper "Default & Risk Premia and Asset Returns" (2007)

Courses Taught:

• Credit Derivatives (45-903)
  (Masters Program)
  • 2008, Mini 3 (Section: I)
  • 2008, Mini 2 (Section: I)
  • 2007, Mini 3 (Section: I)
  • 2007, Mini 2 (Section: I)
  
  
• Credit Derivatives (47-727)
  (Ph.D. Program)
  • 2008, Mini 2 (Section: A)
  • 2007, Mini 2 (Section: A)