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CBE Experts | Professor Antje Berndt

CBE Experts | Professor Antje Berndt

Across-the-Curve Credit Spread Indices 

Abstract

Because LIBOR is expected to cease after 2021, market participants are now transitioning to new benchmark reference rates in each relevant currency. For U.S. dollar markets, the private-sector Alternative Reference Rates Committee is coordinating the transition from LIBOR to the new benchmark U.S. reference rate, SOFR, a broad measure of the cost of overnight financings secured by U.S. Treasury securities. Bank representatives have urged regulators to add a credit sensitive spread index to SOFR, and our research proposes one possible approach to create such an index.

Bio

Antje Berndt is a Professor in Finance in the ANU Research School of Finance, Actuarial Studies and Statistics. Her research focuses on fixed income markets and issues related to financial stability. She has published in leading finance and economics journals including the Review of Financial Studies, Review of Finance, Journal of Monetary Economics and AEJ Macro. Her work has been featured in the Wall Street Journal and on CNBC Squawk Box, NPR Market Place, Reuters and Risk.net. She is an Associated Editor of the Journal of Empirical Finance and the Journal of Credit Risk.

Professor Berndt was the recipient of the ANU Futures Scheme, PNC Professorship in Computational Finance, the GARP Research Management Award, the Fulbright Enterprise Scholarship, the Moody’s research award, and NSF and NSA funding, among others. She holds a Ph.D. from Stanford University, a M.A. from Columbia University and a Diploma from the University of Kiel, Germany. Prior to joining ANU, Antje held academic appointments at NC State University, Carnegie Mellon University, and Cornell University.

Updated:   7 August 2020 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team