257 with Panel A. However, we do not find any significant result for Fitch (column 4). We observe positive odds ratios of 0.53 (z-stat= -3.40) for Moody’s, 1.27 (1z%- s tsai tg=n i-f6i c. 5a n4 c) ef ol er vSe&l . PT, haen dr e0s .u3l8t s (azl-ssot asth=o-w2 . 8t h3a) t f So&r PD Ba sRsSi g, na lsl ws iogrnsief i craant itn ag ts , t ohne amveetrhaog de ,, wf oi rt ht roadndcsh oe fs 1w. 4i 6t h, ctohl eu mF LnE( 2m) eotfhPoadn ec loBm. pHaorwe de vteor, ttrhaen cr ehseus l tws iftohr tt hh ee FF LLTE method should be interpreted cautiously as only a relatively small percentage (2.50%) of tranches in our sample used the FLE method. We find similar results for tranches with a credit rating from Moody’s, column (1) of Panel B, albeit only at the 5% significance level. NC Re xAts, w( ie. ea. , nraal tyizneg i fdtihs cerreepi as nacdyi soarg rsepel imt erna tt i bnegtsw) , eceonntshi de ecrriendgi t trhaet i nr igs ko f rde itfef enrt ei onnt mo re mt hoorde aCpRpAl ise dr ebpyo rtth de i ftfrearnecnht ec rreedt ai ti nreart. i nRgast i fnogr dt hi sec rseapmaen ctyr aanrcihs ee s a wt ihses nu atnwc oe (e.g., a tranche received an AAA rating of Moody’s and an AA rating of S&P).82 Wo remt hoererecfroerde i to nralyt i ni ngcsl uadt ei stshuoasnec et riannoc huer srei ng roeus sr i omnomd eol dtehla. t h ave re c e ive d t wo 83 The results of our ordered logit regressions are provided in Table 6.6, where Rating Discrepancy is our dependent variable and the Risk Retention Methods our key independent vc oa rl ui amb nl e (. 5I n) pc or el us emnnt ss o( 1u )r tf ou l(l 5m) owdee sl ui nbcsl euqdui ne gn tsleyvienrcal lucdoenct or onltsr of ol rv saer ci aubr li et ys -, dwehs ei gr ne characteristics, credit rating, year, and security type. Owui trh rae sVuEl St s ainnd cFoLl uEmmne t(h5o) ds, hcoowm pt ha raet dr at ot i nt hg e dFi sLcTr empeatnhcoyd .i sWleo wo be sr e frovre tnrea gnacthi ve es odds ratios of -0.52 (z-stat= -3.74) for the VES method, statistically significant 82coRmapteintigtodrissc(rseepea, en.cgy., Vcaann Balrseoembeena eret saul.l,t2o0f2C3R).As assigning better ratings as a strategy to win business from its 83l o wI f et shtec trreadni tc hr ae t ri ne gc e. Ii vf ewde mo no lrye itnhcal un dt ewdoucarle- rdai tt erda ttirnagnsc, hwees imn eoausru sr ea dm rpal et i, nwg edoi sbctraei pn asni mc yi lba yr rt ea skui nl tgs .t h e h i g h e s t a n d Chapter 6 - Risk Retention in the European Securitization Market
RkJQdWJsaXNoZXIy MTk4NDMw