{"id":"W2059439687","doi":"10.3905/jai.2006.670101","title":"Correlation Breakdown in the Valuation of Collateralized Fund Obligation","year":2006,"lang":"en","type":"article","venue":"The Journal of Alternative Investments","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto; Toronto Metropolitan University","funders":"","keywords":"Hedge fund; Collateralized debt obligation; Tranche; Business; Solvency; Securitization; Open-end fund; Alternative beta; Hedge accounting; Fund of funds; Credit derivative; Credit risk; Actuarial science; Market liquidity; Institutional investor; Financial system; Finance; Collateral; Corporate governance","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":[0.001450355,0.00006991587,0.0001815765,0.0002074686,0.00006530213,0.00002285165,0.0002078623,0.00003246813,0.00002444341],"category_scores_gemma":[0.00008853223,0.00004749863,0.00006465227,0.0002970625,0.00006728119,0.0002631542,0.00001323106,0.000107143,0.00001317347],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001001178,"about_ca_system_score_gemma":0.00002347513,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001018085,"about_ca_topic_score_gemma":0.00008667149,"domain_scores_codex":[0.9988784,0.00009303613,0.0007649323,0.00006124478,0.0001157002,0.00008673194],"domain_scores_gemma":[0.9983711,0.0001470822,0.001247072,0.0001167876,0.0001049943,0.00001292066],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.0001521285,0.0002634939,0.4572393,0.00000810295,0.00006310291,0.000002615599,0.005896906,0.03672325,0.0002730964,0.4975122,0.001021917,0.0008438621],"study_design_scores_gemma":[0.0007334597,0.00007255005,0.7132711,0.00001943115,0.00001163523,0.000006831175,0.00008160406,0.005830777,0.0001859955,0.2788998,0.0008469333,0.00003994078],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9878651,0.0004402585,0.006998852,0.0005532751,0.000352291,0.0002055214,0.00002276438,0.000001559174,0.003560304],"genre_scores_gemma":[0.9993358,0.0001140952,0.0001857529,0.00005113785,0.0001603394,0.000003278313,0.000009752235,0.00000540278,0.0001343903],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.2560318,"threshold_uncertainty_score":0.1936938,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.0721092547997177,"score_gpt":0.2721822168355081,"score_spread":0.2000729620357904,"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."}}