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: 

• How does the U.S. government finance fiscal shocks?
  AEJ Macroeconomics, 01/01/2012.
  (with: Hanno Lustig, Sevin Yeltekin)
  
  
• Decomposing European CDS Returns
  Review of Finance 14, 2010; 189-233.
  (with: Iulian Obreja)
  
  
• On Correlation and Default Clustering in Credit Markets
  Review of Financial Studies 23, 2010; 2680-2729.
  (with: Peter Ritchken, Zhiqiang Sun)
  
  
• Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit
  Journal of Monetary Economics 56, 2009; 725-743.
  (with: A. Gupta)
  
  
• Restructuring Risk in Credit Default Swaps: An Empirical Analysis
  Stochastic Processes and their Applications 117, 2007; 1724-1749.
  (with: R. Jarrow, ChoongOh Kang)
  
  

Working Papers: 

• What Broker Charges Reveal about Mortgage Credit Risk previously entitled "The Role of Mortgage Brokers in the Subprime Crisis"
  June, 2012.
  (with: Burton Hollifield, Patrik Sandas)
  
  
• 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)
  
  
• 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.
  
  

Publications: 

• "The Pitfalls of Originate-to-Distribute in Bank Lending"
  in R. Kolb (ed.) Lessons from the Financial Crisis, John Wiley & Sons, (2010).
  (with: A. Gupta)
  
  

Awards:

• PNC Professorship in Computational Finance - 2007-2010
• Q-Group Research Grant - 2010
• GARP Risk Management Research Award - 2008
• CART Faculty Grant, Tepper School of Business - 2008-2009
• 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:

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

Courses Taught:

• Investment Analysis (45811)
  (Masters Program)
  • 2011, Mini 2 (Section: E)
  • 2011, Mini 2 (Section: M)
  • 2011, Mini 4 (Section: A)
  • 2011, Mini 4 (Section: B)

• Credit Derivatives (45903)
  (Masters Program)
  • 2011, Mini 2 (Section: I)
  • 2009, Mini 3 (Section: I)
  • 2008, Mini 2 (Section: I)
  • 2008, Mini 3 (Section: I)
  • 2007, Mini 2 (Section: I)
  • 2006, Mini 2 (Section: I)

• Fixed-Income Investments (45924)
  (Masters Program)
  • 2012, Mini 2 (Section: A)

• Credit Derivatives MSCF (45985)
  (Masters Program)
  • 2013, Mini 3 (Section: I)
  • 2012, Mini 2 (Section: I)

• Seminar in Finance IV (47724)
  (Ph.D. Program)
  • 2012, Mini 2 (Section: A)
  • 2011, Mini 2 (Section: A)

• Credit Derivatives (47727)
  (Ph.D. Program)
  • 2009, Mini 2 (Section: A)
  • 2008, Mini 2 (Section: A)
  • 2008, Mini 2 (Section: A)
  • 2007, Mini 2 (Section: A)
  • 2007, Mini 2 (Section: A)