{"id":"W1576094778","doi":"","title":"Worst-Case Copulas, Mass Transportation and Wrong-Way Risk in Counterparty Credit Risk Management","year":2013,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Waterloo","funders":"","keywords":"Credit risk; Actuarial science; Credit valuation adjustment; Financial risk management; Risk management; Portfolio; Business; Valuation (finance); Counterparty; Risk analysis (engineering); Economics; Finance; Credit reference","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.005236579,0.0001952785,0.0002638292,0.0004359006,0.0003270349,0.0003533854,0.0002985031,0.00009939681,0.0002257233],"category_scores_gemma":[0.0001407821,0.0001488367,0.00009397835,0.0005883352,0.00006088641,0.0008968319,0.00001368245,0.001154236,0.0001302826],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.000287599,"about_ca_system_score_gemma":0.0001967086,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0009610526,"about_ca_topic_score_gemma":0.0072762,"domain_scores_codex":[0.9964467,0.00027515,0.0008553349,0.0003948419,0.0007969707,0.001231043],"domain_scores_gemma":[0.9986089,0.0001764131,0.0006048644,0.0002795823,0.0001809259,0.000149341],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001485459,0.0001099507,0.5976977,0.000003959356,0.0001429639,0.0002333985,0.0009977171,0.01345435,0.000008492098,0.0143328,0.002647077,0.370223],"study_design_scores_gemma":[0.002370564,0.0003363692,0.1940727,0.00002823716,0.0001384046,0.0008119312,0.009160827,0.02446642,0.00001181126,0.7612769,0.006903674,0.0004222037],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.8589609,0.001449429,0.1378013,0.0002144282,0.0003106833,0.0003488183,0.00001969553,0.00002056576,0.0008741787],"genre_scores_gemma":[0.9572235,0.04005351,0.001236424,0.000037914,0.000118129,0.00001867236,0.000009499154,0.00001764193,0.001284693],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.7469441,"threshold_uncertainty_score":0.6069384,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01270370945254358,"score_gpt":0.2802055445542024,"score_spread":0.2675018351016588,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}