{"id":"W3082967872","doi":"10.1287/mnsc.2020.3658","title":"Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion","year":2020,"lang":"en","type":"article","venue":"Management Science","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":23,"is_retracted":false,"has_abstract":true,"ca_institutions":"McGill University","funders":"","keywords":"iTraxx; Credit risk; Credit default swap; Credit derivative; Credit valuation adjustment; Credit default swap index; Economics; Credit event; Financial economics; Econometrics; Actuarial science; 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":[0.001171337,0.0007301902,0.0009922491,0.0007286262,0.0003958589,0.00260498,0.002235668,0.001758175,0.003346992],"category_scores_gemma":[0.004799631,0.0006380447,0.001098033,0.001026786,0.001360471,0.002297964,0.001139832,0.002337908,0.0003032566],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001045678,"about_ca_system_score_gemma":0.000783123,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.009442335,"about_ca_topic_score_gemma":0.005278181,"domain_scores_codex":[0.9994949,0.0001508007,0.00003784793,0.0001215315,0.00009240201,0.000102371],"domain_scores_gemma":[0.9980732,0.0008542448,0.000560159,0.0001661179,0.0001508116,0.0001953118],"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":[0.00004902492,0.00007119308,0.004309263,0.00003870457,0.00006623129,0.0004041061,0.0001636304,0.6161895,0.001591429,0.36827,0.0007526645,0.008094218],"study_design_scores_gemma":[0.000009581539,0.00001642898,0.0005667514,0.000004315609,0.0000185254,0.00004018957,0.00001314822,0.9496037,0.0001307099,0.04907965,0.0005034044,0.0000135798],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2431952,0.001008596,0.7394903,0.002329509,0.0002197426,0.00004933533,0.0005118488,0.000255037,0.01294045],"genre_scores_gemma":[0.9804226,0.0005922379,0.009946032,0.000077302,0.0001301292,0.00003194503,0.0001460421,0.00002866165,0.008625212],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.009442335,"threshold_uncertainty_score":0.01877475,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03330130031210039,"score_gpt":0.2209835967543492,"score_spread":0.1876822964422488,"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."}}