245 6.3.2 Strategy for obtaining the empirical results Wr e et e un st ieo tnh mr eeet he omdpsi roi nc atlhset rcar teedgi it ersa tt oi n ignsvaens tdi gpartiec i tnhge oi fms pe ac uc tr iot if ztaht ei o dn i ft frearnecnht ersi sakt tmheetthiomdes oofnisthsueacnreced.itFrirasttin, wgseaatnisaslyuzaencthe.eUisminpgacotuorf the different risk retention full tranche-level sample, we apply ordered logit regressions with the Credit Rating as the dependent variable. We calculate the average credit rating received by Moody’s, S&P, Fitch, DBRS, and KBRA for the tranche at time of issuance. Our key independent variable is Risk Retention Methods, a categorical variable denoting the four different risk retention methods in our sample, namely the VES, OBS, FLT, and FLE method. In addition, we use several variables to control for security-specific factors. We control for the security-design characteristics such as No. of Tranches, Log Tranche Value, Log Transaction Value, and Subordination. We also control for the size of the originator by including Frequent Originator. We further control for Rating Discrepancy, which stands for the numerical difference between credit ratings of dmi ef f ae sr ue rnet rCaRt Ai nsg adni ds cer xe ips at nocnyl ya sw thheen nt uh me terrai cnac lh de i fi fse rr ae tnecde ui nn enqout ac lhl ye sb tyh Ca tR rAess. uWl t es farto ims s us eu bf trroamc t itnhge an unmu me rei rc iacl ael qeuqiuv iavl ae nl etn ot fotf hteh el o hwi eg shte sc tr ecdr iet dri at tri na tgi sn gass sai gs sniegdn eadt iAs As uAe) . rFaot ri negx tahma pn l Se &, t Ph e( ei n. gd. , iAc aAt)o froirs tohne es, ai fmMe ot roadnyc’ sh ea .s Ts ihgins si na doi nc aet no ro tschho hwi sg hpeors s( ieb. gl e. , mt r ai snacl hi gen. mH ee nn ct se , bae thwi geheenr cdri es cdri te pr ai snkc ya sms ei gs hs mt ienndtisc aot fe dhiifgf ehreernut nCcRe Ar tsa ifnotry tahned s tahmu es higher risks for investors. Next, we control for the Security Type and Year in which the tranche was issued. Due to data limitations, we cannot control for inherent risk of the securitization pool. The specification of our third model is: Chapter 6 - Risk Retention in the European Securitization Market
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