Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023
We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance … using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the … investigated the impact of these methods on the pricing of securitization tranches and found that investors adjust the risk premium …