{"id":"W2357731990","doi":"10.3390/jrfm9020003","title":"Revisiting Structural Modeling of Credit Risk—Evidence from the Credit Default Swap (CDS) Market","year":2016,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":3,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Credit derivative; Credit default swap; Credit risk; Arbitrage; Hedge; Credit default swap index; Swap (finance); Black–Scholes model; Profit (economics); Derivative (finance); Economics; Simple (philosophy); Econometrics; Financial economics; Credit valuation adjustment; Computer science; Actuarial science; Finance; Microeconomics; Volatility (finance); Credit reference","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":[0.004768476,0.0004073956,0.0006891632,0.0007682893,0.0005462697,0.002136622,0.00129754,0.001283521,0.006259086],"category_scores_gemma":[0.03486802,0.0003201121,0.000785508,0.0007602307,0.00193018,0.004027379,0.001416903,0.002253643,0.000635418],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008061666,"about_ca_system_score_gemma":0.0009090438,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.004298626,"about_ca_topic_score_gemma":0.002588426,"domain_scores_codex":[0.9990116,0.0004401426,0.00009602562,0.0001398223,0.0002324892,0.00007987002],"domain_scores_gemma":[0.958384,0.02977232,0.005123914,0.004673719,0.001521884,0.0005240914],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00133439,0.001008919,0.1207116,0.000505681,0.0003835971,0.0006507291,0.001174378,0.1842714,0.003422861,0.5998773,0.005832903,0.0808261],"study_design_scores_gemma":[0.0003926377,0.0003752253,0.03558717,0.00008570513,0.000158306,0.0001364537,0.0003803929,0.4949356,0.001379998,0.4624349,0.004078206,0.00005549468],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9375815,0.00131353,0.03639422,0.006538108,0.00006363048,0.00005382166,0.0003543207,0.0001922152,0.01750874],"genre_scores_gemma":[0.9974123,0.0004240756,0.00142442,0.0001007366,0.00004619467,0.000005890905,0.0001096028,0.00001050717,0.0004661516],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.006259086,"threshold_uncertainty_score":0.02521843,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02169389342981489,"score_gpt":0.2226436827146112,"score_spread":0.2009497892847963,"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."}}