{"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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.00256274,0.0009475098,0.00166472,0.001001186,0.0005799662,0.003739717,0.00200787,0.00326278,0.003761795],"category_scores_gemma":[0.006637707,0.0008044607,0.0008922495,0.001046649,0.002152681,0.003821478,0.001370627,0.001925284,0.0003305354],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001335795,"about_ca_system_score_gemma":0.0008403535,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01030136,"about_ca_topic_score_gemma":0.005171432,"domain_scores_codex":[0.9994331,0.0002807015,0.00002942525,0.0001198691,0.00005933869,0.00007751863],"domain_scores_gemma":[0.9955119,0.003128925,0.0005684621,0.0001577706,0.0002516473,0.0003812533],"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":[0.0001274253,0.00006305079,0.001533591,0.00002238426,0.00004437904,0.0001291744,0.00005775519,0.9457206,0.0003554773,0.04960131,0.0004234501,0.00192144],"study_design_scores_gemma":[0.00003262952,0.00002129292,0.0003330481,0.000003468282,0.00001666043,0.00001615525,0.00001359547,0.9873986,0.00002955412,0.01205241,0.00006994721,0.00001263359],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.7909264,0.001425838,0.1925246,0.002904723,0.0001014895,0.00005307668,0.0005064137,0.0002375327,0.01132005],"genre_scores_gemma":[0.9875572,0.0003218337,0.003524313,0.00007100053,0.0000607034,0.00003042445,0.0001089698,0.00002898369,0.008296655],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.01030136,"threshold_uncertainty_score":0.02048278,"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."}}