V i v i a n CMl a. uvda ni a BSrcehewmaernz Dennis Vink Acknowledgement: We thank Linda Goldberg (Federal Reserve Bank of New York), Patricia Mosser (Columbia SIPA), Loriana Pelizzon (Leibniz Institute for Financial Research SAFE) and Raphael Schoenle (Brandeis university and CEBRA) for their invitation to present our paper during the Central Bank Research Association (CEBRA) Annual Meeting 2023. We are very grateful for comments from Klaus Düllmann (ECB) on a previous version of the paper. We also benefited from comments provided by participants in the ECB Research Seminar. We also thank the Editorial Board of the European Central Bank (ECB) Working Paper Series for their review and invitation to publish in the ECB Working Paper Series. Risk Retention in the European Securitization Market: Skimmed by the Skin-in-the-Game Methods? Chapter 6
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