{"id":"W2110652040","doi":"10.3905/jod.2003.319200","title":"The Valuation of Credit Default Swap Options","year":2003,"lang":"en","type":"article","venue":"The Journal of Derivatives","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":89,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"","keywords":"Credit default swap; iTraxx; Credit derivative; Credit default swap index; Credit risk; Synthetic CDO; Embedded option; Credit valuation adjustment; Valuation (finance); Derivative (finance); Business; Actuarial science; Swap (finance); Economics; Financial economics; Finance; 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":[0.001577676,0.0000612389,0.0001711573,0.0000828424,0.0002599538,0.00002269243,0.0002022994,0.00003170392,0.00004828998],"category_scores_gemma":[0.001159965,0.00003878766,0.0001000079,0.0002380803,0.0001502212,0.0001623672,0.00001366127,0.0001221848,0.00001463168],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00002926226,"about_ca_system_score_gemma":0.00004599183,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00001486158,"about_ca_topic_score_gemma":0.000009754597,"domain_scores_codex":[0.9991221,0.0000641615,0.0005969441,0.00004870432,0.00006276524,0.0001053391],"domain_scores_gemma":[0.9984149,0.0003861117,0.0008549073,0.0001673552,0.0001502563,0.00002643983],"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":[0.0000290688,0.00006158365,0.01297729,0.000003658717,0.00007207161,2.692016e-7,0.002658375,0.001643178,0.0004512167,0.9792303,0.001269255,0.001603705],"study_design_scores_gemma":[0.0004748111,0.00017644,0.5093065,0.00002211029,0.00002772456,0.00002157703,0.001587483,0.0004855719,0.001296425,0.4230355,0.0634608,0.0001050909],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9110999,0.007496594,0.06957693,0.001901117,0.0007200462,0.0001361575,0.00002159448,0.000004492049,0.009043218],"genre_scores_gemma":[0.9972924,0.00128149,0.0009107743,0.000009542478,0.0001304042,0.00000181899,5.945008e-7,0.000006625246,0.0003663382],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.5561948,"threshold_uncertainty_score":0.1999381,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05861710601105988,"score_gpt":0.2585133603813226,"score_spread":0.1998962543702627,"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."}}