{"id":"W2612233487","doi":"","title":"Credit Migration and Derivatives Pricing Using Copulas","year":2005,"lang":"en","type":"article","venue":"Les Cahiers du GERAD","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":3,"is_retracted":false,"has_abstract":true,"ca_institutions":"HEC Montréal","funders":"","keywords":"Copula (linguistics); Credit risk; Univariate; Credit derivative; Econometrics; Portfolio; Markov chain; Credit spread (options); Actuarial science; Economics; Multivariate statistics; Financial economics; Mathematics; Statistics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":true,"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":[0.002330607,0.001170279,0.001015539,0.0009404679,0.0005098491,0.002266923,0.001257683,0.001322159,0.004395764],"category_scores_gemma":[0.008528382,0.0006364292,0.001372614,0.001452882,0.001718674,0.002565306,0.00111062,0.002360544,0.0006680103],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001716333,"about_ca_system_score_gemma":0.001157028,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.01502004,"about_ca_topic_score_gemma":0.007515441,"domain_scores_codex":[0.9990735,0.0004867235,0.00003524371,0.0001327066,0.0001704867,0.0001014077],"domain_scores_gemma":[0.9979541,0.001188757,0.0003346062,0.000164694,0.0002138267,0.0001439331],"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":[0.00002672812,0.00004381867,0.003145328,0.00008789056,0.00008345032,0.0003167089,0.0001878925,0.5159715,0.0007106909,0.4582806,0.004394685,0.01675082],"study_design_scores_gemma":[0.000007297985,0.0000114088,0.0008121507,0.00001890658,0.00001238598,0.00007167475,0.00003079096,0.8602481,0.00008064328,0.1373071,0.001383594,0.00001596835],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.04837727,0.00359476,0.9329045,0.001564525,0.000170957,0.00006539684,0.0002715475,0.0002431414,0.01280791],"genre_scores_gemma":[0.9291679,0.005137477,0.04575863,0.0002313604,0.0004389124,0.0001255734,0.000332842,0.0001503608,0.01865689],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.01502004,"threshold_uncertainty_score":0.02986521,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02357263630233594,"score_gpt":0.2172848257134393,"score_spread":0.1937121894111033,"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."}}