CBE Experts | Professor Antje Berndt - Across-the-Curve Credit Spread Indices

Presented by ANU College of Business & Economics

Join us for this webinar event with Professor Antje Berndt, who will discuss research that proposes an approach for adding a credit sensitive spread index to the Secured Overnight Financing Rate (SOFR).

Due to the London Interbank Offered Rate (LIBOR) being expected to cease after 2021, market participants are now transitioning to new benchmark reference rates in each relevant currency. For United States (US) dollar markets, the private-sector Alternative Reference Rates Committee is coordinating the transition from LIBOR to the new benchmark US reference rate, the SOFR, a broad measure of the cost of overnight financings secured by US Treasury securities. Bank representatives have urged regulators to add a credit sensitive spread index to SOFR.

About Professor Antje Berndt Antje Berndt is a Professor in Finance from the ANU Research School of Finance, Actuarial Studies and Statistics. Her research focuses on fixed income markets and issues related to financial stability. Antje 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.

Antje 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.