227 ti nh ve e cs rt ei gdai tt ertaht ii sn ga l oa nn dg spervi ec irna gl doi mf seenc sui roi nt isz. aFt ii rosnt , twr ae nt ce hs te ws ah te ti hs seur at nh ce ed. i Wf f eer es ne et kr i st ok raentaelny tzieo ni f tmh ee tdhiof fdesr ehnatvrei saknr ei mt epnat ci ot no mn et ht he ocdrse dh iatv react ai nugs eadt ci sr seudai tnrcaet. i nS ge caognedn,c wi e es (CRAs) to report split ratings. Third and finally, we investigate if investors take irnattoinagcactotuhnet ttihmeeroisfkisrseutaennctieo.n method in pricing the tranche beyond the credit Ua ns di n gs oal du nb ieqt uwee edna t 2a s0e1t1oaf nEdu r2o0p2e1a,nws ee cpurroi tvi izdaet i ot hnet rf aonl l soawc itni ogn rsetshual tt sa. r e i s s u e d First, we sVhEoSwmtehtahto Cd ,R cAosmaps as irgend wt oo rt hs ee rbaatsi ne gms , eot hn o adv eFrLaTg. eH, of owre vt rearn, ca hs eds a tt ha alti mh iatvaet i ot hn es hs ei nc ud reirt itzoact ioonntsr owl if tohr itnhhe eVr Ee nS t mr ies tkhoofdt hhea vuen do enr al yvienrga gpeo or li,swk iee rc aans ns eottsr. u l e o u t t h a t Second, we fwi ni tdh t ht haet CF RL TA sme ex tpheordi e. nWc eh emno cr oe mr apt ianr gi ndgi stahger eo er mi g iennattsowr ’ hs esni zrea, twi neg fsi encdu lrei ts isz ar at itoi nn gs disagreement for tranches that are originated by infrequent originators. Third, omuert hr eosdusl tws hs eh no wp rti hc iant gi ns ve ec sutroi tr isz da ti fi of enr et rnat ni acthe ebs eat twt eh ee nt itmh ee do if f if sesr ue an nt cr ei s, ke vr ee nt e wn thi oe nn controlling for the inherent risks as proxied by the rating. Taking the FLT method as the base case, we find that investors reduce the spread at issuance when trha tei nt gr aangcehnec ireest aai sn ewr ehl la as s amp palri ke edt st hsee eVmE St oo rb eOl iBe Sv emt he taht otdh se. rWe tee nc toi no cnl umdeet ht ho adts, se ixgpnoasl udrief sf earne nd tailni gcneinntgi vienst ef roersat sd eoqf uo ar itgeilny astcorreseanni ndgi navneds tmo rosn. i t o r i n g s e c u r i t i z e d The contribution of our study is manifold. First, to the best of our knowledge, we are the first to assess the impact of four different risk retention methods on tcho en tcrri ebdu itte rtaot i ns tgusdai ensd tph raitc ienxga mo f i nEeu rtohpe e ea fnf escet icvuerni tei sz sa toi of nt ht er arni cs hk erse. tWe net itohne rreubl ye Chapter 6 - Risk Retention in the European Securitization Market
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