{"id":"W2101593446","doi":"10.3905/jod.2004.450964","title":"Valuation of a CDO and an <i>n</i> -th to Default CDS Without Monte Carlo Simulation","year":2004,"lang":"en","type":"article","venue":"The Journal of Derivatives","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":509,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"","keywords":"Collateralized debt obligation; Credit derivative; Credit default swap; Copula (linguistics); Credit risk; Monte Carlo method; Synthetic CDO; Valuation (finance); Econometrics; Credit valuation adjustment; iTraxx; Actuarial science; Computer science; Portfolio; Probability of default; Derivative (finance); Systemic risk; Economics; Financial economics; Mathematics; Accounting; Finance; Statistics","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":[0.002078098,0.0003596514,0.0006769816,0.0005540892,0.0003702182,0.002058299,0.000791165,0.001583381,0.00445632],"category_scores_gemma":[0.009086145,0.0004482413,0.0005813872,0.0005280177,0.0009440873,0.001964932,0.0006914031,0.0009904942,0.0002732951],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001611593,"about_ca_system_score_gemma":0.001098679,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.005544677,"about_ca_topic_score_gemma":0.00322353,"domain_scores_codex":[0.9993432,0.0002771649,0.0000382933,0.00007898393,0.0001777137,0.00008465968],"domain_scores_gemma":[0.9969798,0.002023058,0.0001811124,0.0003275552,0.000270818,0.0002175528],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0002163622,0.00004562824,0.00285591,0.00002517698,0.00002811895,0.000235444,0.00007181747,0.8945736,0.001068589,0.09229289,0.0008719568,0.007714563],"study_design_scores_gemma":[0.00001192957,0.00002126227,0.0003036661,0.000005603488,0.000005806581,0.0000477601,0.00001808644,0.9866338,0.0002663812,0.01222041,0.0004573011,0.000008026091],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.29278,0.0005109994,0.6653186,0.001115341,0.0000858464,0.0001631261,0.0003425437,0.000228326,0.03945528],"genre_scores_gemma":[0.9598207,0.0001468918,0.03411093,0.00004414149,0.0000219415,0.00004835385,0.00009037306,0.00003049167,0.005686068],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.005544677,"threshold_uncertainty_score":0.01490784,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05854142004348079,"score_gpt":0.2934189204170027,"score_spread":0.234877500373522,"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."}}