Ingo Fender

Bank for International Settlements (BIS)

Centralbahnplatz 2

CH-4002 Basel

Switzerland

http://www.bis.org

SCHOLARLY PAPERS

24

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CITATIONS
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124

Scholarly Papers (24)

CDO Rating Methodology: Some Thoughts on Model Risk and its Implications

BIS Working Paper No. 163
Number of pages: 31 Posted: 20 Sep 2007
Ingo Fender and John Kiff
Bank for International Settlements (BIS) and International Monetary Fund
Downloads 1,465 (8,903)
Citation 13

Abstract:

Collateralised debt obligations, credit risk modelling, rating agencies

CDO Rating Methodology: Some Thoughts On Model Risk And Its Implications

Journal of Credit Risk, Vol. 1, No. 3, Summer 2005
Posted: 14 Nov 2005
Ingo Fender and John Kiff
Bank for International Settlements (BIS) and International Monetary Fund

Abstract:

CDOs, Collateralized debt obligations, credit risk exposures, pool assets, binominal expansion technique, monte carlo simulation, senior tranche rating

2.

The Future of Securitisation: How to Align Incentives?

BIS Quarterly Review, September 2009
Number of pages: 17 Posted: 31 Jul 2012
Ingo Fender and Janet Mitchell
Bank for International Settlements (BIS) and National Bank of Belgium - Department of Financial Stability
Downloads 726 (14,282)
Citation 9

Abstract:

3.

An International Survey of Stress Tests

Current Issues in Economics and Finance, Vol. 7, No. 10, November 2001
Number of pages: 6 Posted: 26 Apr 2005
Federal Reserve Banks - Federal Reserve Bank of New York, Bank for International Settlements (BIS) and Federal Reserve Board
Downloads 636 (29,334)
Citation 1

Abstract:

risk management, stress test scenarios, G-10 central banks

Structured Finance: Complexity, Risk and the Use of Ratings

BIS Quarterly Review June 2005
Number of pages: 14 Posted: 23 May 2012
Ingo Fender and Janet Mitchell
Bank for International Settlements (BIS) and National Bank of Belgium - Department of Financial Stability
Downloads 427 (52,926)
Citation 12

Abstract:

complex instruments, ratings, structured finance

Structured Finance: Complexity, Risk and the Use of Ratings

BIS Quarterly Review, June 2005
Number of pages: 14 Posted: 23 May 2012 Last Revised: 29 Sep 2013
Ingo Fender and Janet Mitchell
Bank for International Settlements (BIS) and National Bank of Belgium - Department of Financial Stability
Downloads 78 (256,238)
Citation 12

Abstract:

The ABX: How Do the Markets Price Subprime Mortgage Risk?

BIS Quarterly Review September 2008
Number of pages: 15 Posted: 20 Jul 2012
Ingo Fender and Martin Scheicher
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 225 (109,021)
Citation 11

Abstract:

ABX, credit risk, subprime mortgages, pricing

The ABX: How Do the Markets Price Subprime Mortgage Risk?

BIS Quarterly Review, September 2008
Number of pages: 15 Posted: 20 Jul 2012
Ingo Fender and Martin Scheicher
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 175 (138,884)
Citation 11

Abstract:

6.

Corporate Hedging: The Impact of Financial Derivatives on the Broad Credit Channel of Monetary Policy

BIS Working Paper No. 94
Number of pages: 36 Posted: 13 Dec 2005
Ingo Fender
Bank for International Settlements (BIS)
Downloads 393 (50,551)
Citation 8

Abstract:

Corporate Finance, Monetary Transmission, Risk Management

Incentives and Tranche Retention in Securitisation: A Screening Model

BIS Working Paper No. 289
Number of pages: 43 Posted: 03 Oct 2009 Last Revised: 03 Nov 2013
Ingo Fender and Janet Mitchell
Bank for International Settlements (BIS) and National Bank of Belgium - Department of Financial Stability
Downloads 195 (125,482)
Citation 7

Abstract:

retention requirements, screening incentives, securitisation, tranching

Incentives and Tranche Retention in Securitisation: A Screening Model

National Bank of Belgium Working Paper No. 177
Number of pages: 50 Posted: 23 Sep 2010
Ingo Fender and Janet Mitchell
Bank for International Settlements (BIS) and National Bank of Belgium - Department of Financial Stability
Downloads 174 (139,622)
Citation 7

Abstract:

Securitisation, Retention Requirements, Tranching, Screening Incentives

Incentives and Tranche Retention in Securitisation: A Screening Model

CEPR Discussion Paper No. DP7483
Number of pages: 44 Posted: 17 Nov 2009
Ingo Fender and Janet Mitchell
Bank for International Settlements (BIS) and National Bank of Belgium - Department of Financial Stability
Downloads 10 (506,908)
Citation 7
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Abstract:

Borrower screening, Retention requirements, Securitisation, Tranching

8.

Credit Fundamentals, Ratings and Value-at-Risk: CDOs versus Corporate Exposures

BIS Quarterly Review March 2008
Number of pages: 15 Posted: 12 Jul 2012
Ingo Fender, Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 335 (59,495)
Citation 13

Abstract:

CDOs, ratings, value-at-risk

9.

Stress Testing in Practice: A Survey of 43 Major Financial Institutions

BIS Quarterly Review June 2001
Number of pages: 5 Posted: 17 Apr 2012
Ingo Fender and Michael S. Gibson
Bank for International Settlements (BIS) and Federal Reserve Board
Downloads 330 (62,554)
Citation 3

Abstract:

banks, stress testing

10.

Structured Finance: Complexity, Risk and the Use of Rating

BIS Quarterly Review, June 2005
Number of pages: 14 Posted: 23 May 2012 Last Revised: 29 Sep 2013
Ingo Fender and Janet Mitchell
Bank for International Settlements (BIS) and National Bank of Belgium - Department of Financial Stability
Downloads 322 (41,753)
Citation 10

Abstract:

11.

The Pricing of Subprime Mortgage Risk in Good Times and Bad: Evidence from the ABX.HE Indices

ECB Working Paper No. 1056, BIS Working Paper No. 279
Number of pages: 40 Posted: 30 Jul 2009
Ingo Fender and Martin Scheicher
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 260 (88,390)
Citation 8

Abstract:

ABX index, mortgage-backed securities, pricing, risk premia

Shifting Tides - Market Liquidity and Market-Making in Fixed Income Instruments

BIS Quarterly Review March 2015
Number of pages: 13 Posted: 01 Apr 2015
Ingo Fender and Ulf Lewrick
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 209 (117,397)

Abstract:

Shifting Tides – Market Liquidity and Market-Making in Fixed Income Instruments

BIS Quarterly Review, March 2015
Number of pages: 13 Posted: 28 Mar 2015
Ingo Fender and Ulf Lewrick
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 48 (331,005)

Abstract:

market liquidity, market-making, fixed income markets

13.

The Impact of Corporate Risk Management on Monetary Policy Transmission: Some Empirical Evidence

BIS Working Paper No. 95
Number of pages: 42 Posted: 13 Dec 2005
Ingo Fender
Bank for International Settlements (BIS)
Downloads 220 (99,532)
Citation 5

Abstract:

Derivatives, Monetary Policy Transmission, VAR Models

14.

Toward a Global Risk Map

BIS Working Paper No. 309
Number of pages: 27 Posted: 28 Jun 2010
Brandeis International Business School, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 197 (108,088)
Citation 6

Abstract:

Risk Map, International Banking, Financial Crises, Yen Carry Trade, Funding Risk

15.

Bank Structure, Funding Risk and the Transmission of Shocks Across Countries: Concepts and Measurement

BIS Quarterly Review, September 2010
Number of pages: 17 Posted: 20 Aug 2012
Ingo Fender and Patrick McGuire
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 176 (99,532)
Citation 8

Abstract:

Institutional Asset Managers: Industry Trends, Incentives and Implications for Market Efficiency

BIS Quarterly Review September 2003
Number of pages: 12 Posted: 28 Apr 2012
Ingo Fender
Bank for International Settlements (BIS)
Downloads 113 (199,515)
Citation 3

Abstract:

Asset management, delegation, industry organisation

Institutional Asset Managers: Industry Trends, Incentives and Implications for Market Efficiency

BIS Quarterly Review September 2003
Number of pages: 12 Posted: 28 Apr 2012
Ingo Fender
Bank for International Settlements (BIS)
Downloads 61 (294,510)
Citation 3

Abstract:

17.

Assessing Global Liquidity

BIS Quarterly Review, December 2011
Number of pages: 15 Posted: 07 Sep 2012
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 123 (139,655)
Citation 1

Abstract:

18.

Daily CDS Pricing in Emerging Markets Before and During the Global Financial Crisis

Number of pages: 25 Posted: 22 Sep 2011 Last Revised: 08 May 2012
Ingo Fender, Bernd Hayo and Matthias Neuenkirch
Bank for International Settlements (BIS), University of Marburg - School of Business & Economics and University of Trier - Faculty of Economics
Downloads 118 (161,676)

Abstract:

Credit default swaps, emerging markets, financial crisis, spillovers

19.

European Banks' US Dollar Funding Pressures

BIS Quarterly Review, June 2010
Number of pages: 8 Posted: 16 Aug 2012
Ingo Fender and Patrick McGuire
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 115 (171,147)
Citation 4

Abstract:

20.

Risks Related to EME Corporate Balance Sheets: The Role of Leverage and Currency Mismatch

BIS Quarterly Review September 2014
Number of pages: 13 Posted: 01 Oct 2014
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 78 (136,800)

Abstract:

21.

The Impact of Transatlantic M&A Activity on the Dollar/Euro Exchange Rate

BIS Quarterly Review November 2001
Number of pages: 11 Posted: 18 Apr 2012
Ingo Fender and Gabriele Galati
Bank for International Settlements (BIS) and De Nederlandsche Bank
Downloads 71 (212,383)
Citation 2

Abstract:

Exchange rates, M&A activity

22.

Mind the Gap? Sources and Implications of Supply-Demand Imbalances in Collateral Asset Markets

BIS Quarterly Review, September 2013
Number of pages: 15 Posted: 28 Apr 2014
Ingo Fender and Ulf Lewrick
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 35 (281,387)

Abstract:

23.

Adding it All Up: The Macroeconomic Impact of Basel III and Outstanding Reform Issues

BIS Working Paper No. 591
Number of pages: 31 Posted: 09 Nov 2016
Ingo Fender and Ulf Lewrick
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 0 (212,383)

Abstract:

Basel III, density ratio, global systemically important banks, leverage ratio, macroeconomic impact, risk-shifting

24.

Calibrating the Leverage Ratio

BIS Quarterly Review December 2015
Number of pages: 16 Posted: 08 Dec 2015
Ingo Fender and Ulf Lewrick
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 0 (202,565)

Abstract: