{"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":"codex-gemma-dda1882f352a","candidate_categories":["metaepi_narrow"],"consensus_categories":[],"category_scores_codex":[0.001947682,0.0002272656,0.0005815175,0.0009598939,0.0001265831,0.000107695,0.0003807941,0.0004287772,0.00002586366],"category_scores_gemma":[0.0006690298,0.0003121925,0.00009501992,0.0002475197,0.0001651066,0.000230942,0.0003677989,0.0005423185,0.00003006339],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008351598,"about_ca_system_score_gemma":0.0002613859,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001003289,"about_ca_topic_score_gemma":0.0006454876,"domain_scores_codex":[0.9974509,0.00004758114,0.001087639,0.0009241459,0.0001003173,0.0003893643],"domain_scores_gemma":[0.998201,0.0001458838,0.0004672688,0.0008860897,0.0001159615,0.0001838186],"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":[0.00006162874,0.0002163463,0.01681552,0.0001583391,0.0000300062,9.912725e-7,0.001088728,0.4896066,0.00005626479,0.08998839,0.00001414869,0.401963],"study_design_scores_gemma":[0.0006794365,0.0002169666,0.3803463,0.0001565714,0.000009736588,0.000002839018,0.0002200477,0.380561,0.0001489372,0.2330453,0.004103135,0.0005096961],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9702129,0.000285248,0.01179658,0.0003756786,0.0003553523,0.00153205,0.0004086596,0.0000362058,0.01499732],"genre_scores_gemma":[0.9929492,0.001561614,0.004349818,0.00001091968,0.0002294723,0.0003813634,0.0003213727,0.00004653981,0.0001496335],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.4014533,"threshold_uncertainty_score":0.999933,"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."}}