{"id":"W1585095117","doi":"","title":"Estimation of Credit and Default Spreads: An Application to CDO Valuation","year":2004,"lang":"en","type":"preprint","venue":"RePEc: Research Papers in Economics","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":2,"is_retracted":false,"has_abstract":true,"ca_institutions":"Canadian Imperial Bank of Commerce (Canada)","funders":"","keywords":"Credit derivative; Credit valuation adjustment; Credit risk; iTraxx; Credit default swap index; Business; Credit reference; Credit history; Valuation (finance); Balance sheet; Credit enhancement; Credit default swap; Synthetic CDO; Financial system; Credit rating; Actuarial science; Financial economics; Economics; Finance","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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002126186,0.0008509382,0.001003976,0.002166416,0.0003342977,0.002039403,0.0008075836,0.001750629,0.002805091],"category_scores_gemma":[0.02196161,0.0004831601,0.0004654193,0.002536157,0.0004994388,0.001750675,0.001037829,0.001241313,0.0004311849],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005610005,"about_ca_system_score_gemma":0.0005306193,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.009266314,"about_ca_topic_score_gemma":0.003818778,"domain_scores_codex":[0.9993406,0.0003146167,0.0000457063,0.0001371228,0.0001296886,0.00003213035],"domain_scores_gemma":[0.9944728,0.004440763,0.0003088792,0.000273992,0.000382654,0.0001209083],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0001935382,0.0001442642,0.02218059,0.0001635702,0.0001262249,0.0004901001,0.0001959582,0.6576387,0.003363441,0.03312067,0.002643007,0.27974],"study_design_scores_gemma":[0.00001144214,0.00001117684,0.002540636,0.00001661898,0.000006927612,0.00008176018,0.00002126544,0.9799348,0.0004356742,0.01620021,0.0007267703,0.00001276119],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.09077649,0.002351863,0.9009236,0.0008389209,0.0001057005,0.000106068,0.0004617202,0.0005559272,0.00387961],"genre_scores_gemma":[0.7806225,0.002109977,0.213027,0.00006524024,0.0002795305,0.00007952455,0.000582787,0.0000837984,0.003149677],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.009266314,"threshold_uncertainty_score":0.01842475,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04811366455238799,"score_gpt":0.3253751375900084,"score_spread":0.2772614730376204,"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."}}