275 HM Treasury. (2021). Review of the Securitisation Regulation: Report and call for evidence response. GOV.UK. https://assets.publishing.service.gov.uk/ government/uploads/system/uploads/attachment_data/file/1040038/ Securitisation_Regulation_Review.pdf Hu, J., & Cantor, R. (2006). The relationship between issuance spreads and credit performance of Structured Finance Securities. The Journal of Fixed Income, 16(1), 5–20. https://doi.org/10.3905/jfi.2006.640273 Kaptan, M. (2011). On the optimal design of risk retention in securitisation. Risk Governance and Control: Financial Markets and Institutions, 1(3), 50–57. https://doi.org/10.22495/rgcv1i3art5 Keys, B. J., Mukherjee, T., Seru, A., & Vig, V. (2010). Did securitization lead to lax screening? Evidence from subprime loans. Quarterly Journal of Economics, 125(1), 307–362. https://www.jstor.org/stable/40506283 Kiff, J., & Kisser, M. (2014). A shot at regulating securitization. Journal of Financial Stability, 10, 32–49. https://doi.org/10.1016/j.jfs.2013.02.003 Malekan, S., & Dionne, G. (2014). Securitization and optimal retention under moral hazard. Journal of Mathematical Economics, 55, 74–85. https://doi. org/10.1016/j.jmateco.2014.10.003 Regulation (EU) No 462/2013 of the European Parliament and of the Council of 21 May 2013 amending Regulation (EC) No 1060/2009 on credit rating agencies. (2013). http://data.europa.eu/eli/reg/2013/462/oj Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012, Article 405. (2013). http://data.europa.eu/eli/reg/2013/575/oj 288 Regulation (EU) No 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation. (2017). http://data.europa.eu/eli/reg/2017/2402/oj Tavakoli, J. M. (2008). Structured finance and collateralized debt obligations: New developments in cash and synthetic securitization (2nd ed.). John Wiley & Sons. Technical Committee of the International Organization of Securities Commissions. (2009). Unregulated financial markets and products [Final report]. International Organization of Securities Commissions. https://www.iosco. org/library/pubdocs/pdf/IOSCOPD301.pdf Vanasco, V. (2017). The downside of asset screening for market liquidity. The Journal of Finance, 72(5), 1937–1982. https://doi.org/10.1111/jofi.12519 Vink, D., Nawas, M., & van Breemen, V. (2021). Security design and credit rating risk in the CLO market. Journal of International Financial Markets, Institutions and Money, 72, 101305. https://doi.org/10.1016/j.intfin.2021.101305 White, L. J. (2010). Markets: The credit rating agencies. Journal of Economic Perspectives, 24(2), 211–226. https://doi.org/10.1257/jep.24.2.211 Chapter 6 - Risk Retention in the European Securitization Market
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