Antje Berndt
Assistant Professor
School of Operations Research and Industrial Engineering
Antje Berndt’s current research concerns credit risk modeling, where she has worked on the valuation of corporate bonds and credit derivatives. She is also interested in computational finance, including simulation-based option pricing, empirical asset pricing, and market and credit risk management for financial institutions.
The idea is to extract credit risk information from observed prices on callable corporate bonds, Berndt says. Although there is a broad array of methods for doing this for bonds that are not callable, she and her research group are developing a new method to obtain the necessary data for callable bonds.
The price of the embedded call optic depends on both market interest rates and credit quality, she explains. To extract credit quality information, one must collect the price of the call option and credit spread simultaneously.
A separate research project involves measuring the field risk premium for U.S. corporate debt by examining data for fold frequencies. The expected definition measures information on market default rates. Berndt wants to establish a strong link between actual and risk-neutral default probability for a wide range of U.S. companies.
Such information would be used by investors to evaluate the fold rate for companies in the near term as well as the price derivations for a particular company. "It’s a pricing tool based on expected default frequencies," she says.
More recently, Berndt also became involved in statistical data mining; she is teaching a course in that field at Cornell. She earned a PhD from Stanford University and has worked as a research and management analyst at Deutsche Bank Frankfort and Hypo-Bank Munich in Germany.
Berndt got married this past March. Her outside interests include aerobics and other personal exercise programs.
