Ingo Fender

Bank for International Settlements (BIS)

Centralbahnplatz 2

CH-4002 Basel

Switzerland

http://www.bis.org

SCHOLARLY PAPERS

28

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11,428

SSRN CITATIONS
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Top 2,925

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52

CROSSREF CITATIONS

397

Scholarly Papers (28)

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 1,649 (12,225)
Citation 22

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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

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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 1,363 (16,779)
Citation 1

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3.

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 844 (33,805)

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4.

An International Survey of Stress Tests

Number of pages: 6 Posted: 26 Apr 2005
Federal Reserve Banks - Federal Reserve Bank of New York, Bank for International Settlements (BIS) and Board of Governors of the Federal Reserve System
Downloads 780 (37,642)
Citation 2

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

5.

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 542 (60,758)
Citation 8

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Corporate Finance, Monetary Transmission, Risk Management

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 446 (76,542)
Citation 1

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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 84 (352,219)
Citation 2

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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 300 (120,408)

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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 187 (192,044)

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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 250 (145,622)

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Securitisation, Retention Requirements, Tranching, Screening Incentives

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 225 (161,457)
Citation 74

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retention requirements, screening incentives, securitisation, tranching

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 (708,638)
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Borrower screening, Retention requirements, Securitisation, Tranching

9.

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 449 (76,676)
Citation 2

Abstract:

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CDOs, ratings, value-at-risk

10.

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 Board of Governors of the Federal Reserve System
Downloads 425 (81,801)
Citation 1

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banks, stress testing

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 241 (150,928)

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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 161 (218,826)

Abstract:

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market liquidity, market-making, fixed income markets

12.

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 365 (97,561)
Citation 6

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13.

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 355 (100,732)
Citation 2

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14.

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 297 (122,386)

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

15.

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 290 (125,452)
Citation 2

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

16.

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 281 (129,704)
Citation 23

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

17.

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 270 (135,215)
Citation 5

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Derivatives, Monetary Policy Transmission, VAR Models

18.

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 248 (147,301)

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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 152 (229,769)
Citation 2

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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 66 (404,740)

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20.

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 217 (167,438)

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21.

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 210 (172,737)
Citation 2

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22.

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 187 (192,136)
Citation 5

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Credit default swaps, emerging markets, financial crisis, spillovers

23.

Green Bonds: The Reserve Management Perspective

BIS Quarterly Review, September 2019
Number of pages: 15 Posted: 14 Oct 2019
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 156 (224,490)
Citation 3

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24.

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 141 (243,680)

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Exchange rates, M&A activity

25.

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 100 (312,911)

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26.

The ABCs of Bank PBRs

BIS Quarterly Review, March 2018
Number of pages: 15 Posted: 13 Mar 2018
Bilyana Bogdanova, Ingo Fender and Előd Takáts
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 90 (334,615)
Citation 4

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27.

Reserve Management and Sustainability: The Case for Green Bonds?

BIS Working Paper No. 849
Number of pages: 23 Posted: 15 Apr 2020
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 47 (467,693)
Citation 1

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central banks, green bonds, reserve management, sustainability

28.

Global Liquidity: A Selective Review

Annual Review of Economics, Vol. 9, pp. 587-612, 2017
Posted: 14 Aug 2017
Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS)

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