{"id":"W2135358644","doi":"10.3390/jrfm9010001","title":"The Two Defaults Scenario for Stressing Credit Portfolio Loss Distributions","year":2015,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":2,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Default; Portfolio; Conditional probability distribution; Monte Carlo method; Loss given default; Stress test; Credit risk; Distribution (mathematics)","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.005443799,0.000634075,0.0008228104,0.001252586,0.0004971701,0.001987198,0.00141902,0.002101174,0.003204763],"category_scores_gemma":[0.01605444,0.0004195537,0.0009019609,0.0006898373,0.001658757,0.003267348,0.002038317,0.002205497,0.0003270613],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001029491,"about_ca_system_score_gemma":0.0004696688,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001813034,"about_ca_topic_score_gemma":0.001322965,"domain_scores_codex":[0.9982272,0.0006659008,0.00007887157,0.0003588155,0.0004042445,0.0002650074],"domain_scores_gemma":[0.9939802,0.003285162,0.0007215078,0.001020729,0.000532147,0.0004603498],"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":[0.001008254,0.0003508824,0.03863969,0.0001636971,0.0001236222,0.003014478,0.0005707932,0.6959525,0.00766171,0.2198036,0.003657769,0.02905298],"study_design_scores_gemma":[0.00004470592,0.0001865634,0.008730798,0.00003401683,0.00003113128,0.0007006954,0.0001534567,0.9260324,0.001815983,0.06149792,0.0006958438,0.00007651714],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.737117,0.000329827,0.2491945,0.001304805,0.00008171381,0.0001263319,0.0005390604,0.0003030566,0.01100372],"genre_scores_gemma":[0.9926175,0.00006985114,0.006198244,0.00005471741,0.00002601928,0.00003648965,0.0001508667,0.00001482389,0.0008315539],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.005443799,"threshold_uncertainty_score":0.02878988,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02390264822673103,"score_gpt":0.2466284816595993,"score_spread":0.2227258334328683,"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."}}