{"id":"W2220363342","doi":"10.2139/ssrn.2130851","title":"Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model","year":2012,"lang":"en","type":"article","venue":"SSRN Electronic Journal","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":3,"is_retracted":false,"has_abstract":false,"ca_institutions":"Université du Québec à Montréal; HEC Montréal","funders":"","keywords":"Credit risk; Bond; Credit valuation adjustment; Business; Portfolio; Credit spread (options); Credit derivative; Financial system; Economics; Actuarial science; Monetary economics; Financial economics; Econometrics; 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":["metaepi_narrow"],"consensus_categories":[],"category_scores_codex":[0.00370837,0.000246702,0.0004689263,0.0004887462,0.0003291518,0.0001108761,0.0002132901,0.000137128,0.00003792589],"category_scores_gemma":[0.0005311913,0.0002684897,0.0001762503,0.0002607811,0.00007186808,0.0008317167,0.00005526209,0.001735797,0.00006514284],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0006598198,"about_ca_system_score_gemma":0.0004526768,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0009990713,"about_ca_topic_score_gemma":0.001248225,"domain_scores_codex":[0.9966611,0.00003966157,0.000793079,0.0003328155,0.00009775104,0.002075542],"domain_scores_gemma":[0.9987163,0.0000817178,0.0007029203,0.0002546307,0.00004861086,0.0001958443],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0001011036,0.0001573582,0.8013408,0.000004073755,0.0001213632,0.000002659873,0.0002682673,0.001570766,0.000007361522,0.1672474,0.002031659,0.02714716],"study_design_scores_gemma":[0.0009074058,0.0001500746,0.245539,0.00001412148,0.0000403574,0.0001538234,0.0001741194,0.007299874,0.00002298575,0.736183,0.009143281,0.0003719194],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9153817,0.03976297,0.04109338,0.0001435497,0.0006352763,0.0001687558,0.0002281741,0.00002546952,0.002560756],"genre_scores_gemma":[0.9161348,0.08148989,0.0004570188,0.00001423439,0.001078835,0.00001349603,0.00001259834,0.00003897658,0.0007600864],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.5689356,"threshold_uncertainty_score":0.9999768,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01601147662535941,"score_gpt":0.2189368701182202,"score_spread":0.2029253934928608,"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."}}