Professor Antje Berndt

Antje Berndt


Research School of Finance, Actuarial Studies & Statistics

Phone number
+61 2 612 54560
Room 4.44, CBE Bld (26C)
Research areas

Asset pricing; Financial institutions; Financial stability; Macro finance.

Current projects

The Decline of Too Big To Fail with D. Duffie and Y. Zhu


More Debt More Leverage? [Previously titled "What Changes in Corporate Debt Levels Reveal about Firms' Risk, Returns and Payouts"] with B. Grundy and Y. Wang

Risk Aversion in Corporate Bond Markets with I. Dergunov and J. Helwege

Valuation of Bank Assets with Early Government Intervention with M. Schaefer and A. Szimayer

Dealer Inventory, Short Interest and Price Efficiency in the Corporate Bond Market with Y. Zhu


Antje Berndt is Professor of Finance. Antje’s research focuses on the theoretical and empirical analysis of different sources of delinquency risk: corporate credit risk, mortgage default risk and fiscal risk. Antje has written widely and published in leading finance and economics journals including Review of Financial StudiesReview of FinanceJournal of Monetary Economics and the American Economics Journal: Macroeconomics. Antje is regarded an expert in her field, with her work featuring in the Wall Street Journal and on CNBC Squawk Box, National Public Radio and Reuters, amongst others. Antje has presented her research at a number of academic and industry events including National Bureau of Economic Research workshops, the American Finance Association, Western Finance Association, European Finance Association, Society for Financial Studies, Econometrics Society and Society of Economic Dynamics annual meetings, and in over 70 invited seminars. Antje has received multiple research awards as well as being recipient of the ANU Futures Scheme, PNC Professorship in Computational Finance, the Global Association of Risk Professionals Research Management Award, and the Fulbright Enterprise Scholarship. Antje’s research has been funded by the US National Science Foundation and the US National Security Agency.

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Personal Website

Research publications

Across-the-Curve Credit Spread Indices with D. Duffie and Y. Zhu, Financial Markets, Institutions & Instruments, 2023. DOI:

What Broker Charges Reveal about Subprime Mortgage Credit Risk with B. Hollifield and P. Sandas, Journal of Real Estate Finance and Economics, 2020. DOI:

Corporate Credit Risk Premia (internet appendix) with Rohan Douglas, Darrell Duffie and Mark Ferguson. Review of Finance 22: 419-454, 2018. (Lead article, Managing Editor's Blog, Runner up 2018 Spängler IQAM award for the best investments paper)

How Subprime Borrowers and Mortgage Brokers Shared the Pie with B. Hollifield and P. Sandas, Real Estate Economics 44: 87-154, 2016 (Best Paper Award, 2013 Auckland Finance Meeting)

A Credit Spread Puzzle for Reduced-Form Models (internet appendix), Review of Asset Pricing Studies 5:48-91, 2015

Monetary Policy, Bond Returns and Debt Dynamics (internet appendix) with Sevin Yeltekin, Journal of Monetary Economics 73: 119-136, 2015

Do Equity Markets Favor Credit Market News Over Options Market News? with A. Ostrovnaya, Quarterly Journal of Finance 4: 1450006 (51 pages), 2014

How Does the U.S. Government Finance Fiscal Shocks? with H. Lustig and S. Yeltekin, American Economic Journal: Macroeconomics 4:69-104, 2012 (Second place in 2010 Weil Prize, Carnegie Mellon University)

On Correlation and Default Clustering in Credit Markets with Peter Ritchken and Zhiqiang Sun, Review of Financial Studies 23: 2680-2729, 2010

Decomposing European CDS Returns with Iulian Obreja, Review of Finance 14: 189-233, 2010

Moral Hazard and Adverse Selection in the Originate-to-Distribute Model of Bank Credit with Anurag Gupta, Journal of Monetary Economics 56: 725-743, 2009

Restructuring Risk in Credit Default Swaps: An Empirical Analysis with Robert Jarrow and ChoongOh Kang, Stochastic Processes and their Applications 117: 1724-1749, 2007

Book Chapter

The Pitfalls of Originate-to-Distribute in Bank Lending with Anurag Gupta, Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future edited by R. Kolb, John Wiley & Sons, 2010

Research grants and awards

ARC Discovery Project, 2022-2024 (with Darrell Duffie)

ANU Futures Scheme, 2018-2020

Best Paper Award, Auckland Finance Meeting, 2013 (with Burton Hollifield and Patrik Sandas)

Gill Grant, NC State University, 2013-2014

PNC Professorship in Computational Finance, Carnegie Mellon University, 2007-2010

Honorarium for research paper, NBER/Sloan Project on Market Institutions and Financial Market Risk, 2010 (with B. Hollifield and P. Sandas)

Second place in Weil Prize, Carnegie Mellon University, 2010 (with H. Lustig and S. Yeltekin)

Honorarium for research paper, Carnegie-Rochester Conference Series on Public Policy, 2009 (with A. Gupta)

GARP Risk Management Research Award, 2008-2009 (with R. Elkamhi)

CART Faculty Research Grant, Carnegie Mellon University, 2008-2009 (with C. Levine)

CART Research Frontier Award, Carnegie Mellon University, 2007 (with R. Jarrow and C. Kang)

Berkman Faculty Development Grant, Carnegie Mellon University, 2006-2007

NSA grant for project "Theory and Applications of Stochastic Processes, Motivated by Questions Arising in Mathematical Finance and Risk Analysis", 2005-2007 (with P. Protter)

NSA, NSF grants for Cornell Conference on Mathematical Finance, 2005-2006 (with P. Protter)

Moody's Research Grant, Moody's Investors Service, 2002-2003

Fulbright Enterprise Scholarship, German Fulbright Commission and Goldman Sachs, 1998-1999

German Academic Exchange Grant (declined), German Academic Exchange Service, 1998-1999

Research engagement and outreach

Editorial board member, Schmalenbach Journal of Business Research

Associate Editor, Journal of Credit Risk, 2020-2021

Associate Editor, Journal of Empirical Finance, 2020-2021

Midwest Finance Association review committee

Northern Finance Association review committee

German Finance Association (DGF) review committee

Finance Down Under review committee

Associate Editor, The Financial Review, 2016-18

Southern Finance Association Real Estate Track Chair, 2017

Previous Employment

2016- Professor in Finance, Research School of Finance, Actuarial Studies and Statistics, Australian National University

2018-20 Head of Finance, Research, Research School of Finance, Actuarial Studies and Statistics, Australian National University

2017-18 Deputy Director, Research, Research School of Finance, Actuarial Studies and Statistics, Australian National University

2015-16 Adjunct Associate Professor of Finance, Research School of Finance, Actuarial Studies and Statistics, Australian National University

2013-16 Associate Professor of Finance, Poole College of Management, NC State University

2005-13 Assistant Professor of Finance, Tepper School of Business, Carnegie Mellon University. Promoted to Associate Professor (w/o tenure) in 2013

2003-05 Assistant Professor, School of Operations Research and Industrial Engineering, Cornell University


Doctoral Studies in Asset Pricing