{"id":"W2118383063","doi":"10.5555/1161734.1162037","title":"A simulation-based First-to-Default (FTD) Credit Default Swap (CDS) pricing approach under jump-diffusion","year":2004,"lang":"en","type":"article","venue":"Winter Simulation Conference","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":4,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Alberta","funders":"","keywords":"Credit default swap; Credit derivative; iTraxx; Credit default swap index; Synthetic CDO; Jump; Credit risk; Credit valuation adjustment; Jump diffusion; Interest rate swap; Swap (finance); Copula (linguistics); Derivative (finance); Probability of default; Econometrics; Computer science; Business; Financial economics; Actuarial science; 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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001346241,0.0005806501,0.001261778,0.0007156644,0.0006281195,0.0008950488,0.001525011,0.001647003,0.003248853],"category_scores_gemma":[0.004723204,0.0004334174,0.001225206,0.0005143441,0.0009429932,0.00144126,0.001158134,0.001468058,0.0002383757],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001078147,"about_ca_system_score_gemma":0.001410129,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.009221883,"about_ca_topic_score_gemma":0.004152618,"domain_scores_codex":[0.9993262,0.0003877516,0.0000264356,0.00008899267,0.0001156361,0.00005496847],"domain_scores_gemma":[0.9976643,0.001534918,0.0001666389,0.0001459741,0.0002927771,0.0001954077],"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":[0.00002645621,0.00003386885,0.0004077475,0.00001473016,0.0000257998,0.00004674356,0.00003019013,0.9608002,0.0003548535,0.03268489,0.0002737234,0.005300767],"study_design_scores_gemma":[0.000007043694,0.00000657919,0.00003231748,0.000001315266,0.000003124401,0.000007149528,0.000001511147,0.9958903,0.00003444036,0.003901904,0.0001114631,0.000002873668],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.04130853,0.000320196,0.9526902,0.0006317694,0.00009526901,0.00006362755,0.00007203335,0.0002017578,0.004616614],"genre_scores_gemma":[0.8407456,0.000625281,0.1537588,0.0001919328,0.000151167,0.0001597385,0.0001474898,0.00008545163,0.004134628],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.009221883,"threshold_uncertainty_score":0.01833642,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05504253733145061,"score_gpt":0.2672131698072363,"score_spread":0.2121706324757857,"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."}}