{"id":"W2105723445","doi":"10.2139/ssrn.1784962","title":"On Pricing Credit Default Swaps with Observable Covariates","year":2011,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":40,"is_retracted":false,"has_abstract":false,"ca_institutions":"Queen's University; McGill University","funders":"","keywords":"Credit default swap; Credit derivative; iTraxx; Covariate; Observable; Credit default swap index; Econometrics; Default; Business; Economics; Credit risk; Financial economics; Actuarial science; Finance; Credit valuation adjustment; 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":[0.0009185806,0.0001620536,0.000274376,0.0001990048,0.0003164878,0.00005782707,0.0002472982,0.00008959689,0.0001951916],"category_scores_gemma":[0.0001015707,0.0001499392,0.00009936323,0.0002820183,0.00004188901,0.0002682616,0.00002088578,0.0009440221,0.0002953084],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0005206544,"about_ca_system_score_gemma":0.0004096595,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0006983068,"about_ca_topic_score_gemma":0.0007406482,"domain_scores_codex":[0.9978346,0.00001105728,0.0004122461,0.0002604425,0.0000635203,0.001418103],"domain_scores_gemma":[0.9992601,0.00003822595,0.0003398191,0.0002225928,0.00005439024,0.0000848262],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00008150387,0.00008638412,0.03223827,0.000002243503,0.00007250287,0.000003848533,0.0003319843,0.0001477594,0.000005986846,0.9656198,0.0001710347,0.001238692],"study_design_scores_gemma":[0.0007902346,0.0008021855,0.07390057,0.00002229154,0.00001629359,0.0001077805,0.0003201137,0.0003695705,0.00004031705,0.9175213,0.005834434,0.0002748895],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.857029,0.002564487,0.09520908,0.0003038669,0.0005900434,0.0001898176,0.00002211509,0.00006108699,0.04403055],"genre_scores_gemma":[0.9950166,0.0008984288,0.0009458576,0.00003983956,0.0003295685,0.00000834636,0.000005527934,0.00003336793,0.002722448],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.1379877,"threshold_uncertainty_score":0.6114341,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02646429585763096,"score_gpt":0.1987946255699875,"score_spread":0.1723303297123565,"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."}}