{"id":"W3123048138","doi":"","title":"Pricing Default Events : Surprise, Exogeneity and Contagion","year":2013,"lang":"en","type":"preprint","venue":"RePEc: Research Papers in Economics","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":1,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"","keywords":"Surprise; Default; Economics; Econometrics; Credit derivative; Credit default swap index; Credit risk; Event (particle physics); Endogeneity; Actuarial science; Financial economics; Credit valuation adjustment; Finance","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":[0.005469383,0.0007353486,0.001422329,0.001263176,0.0004815974,0.003326572,0.00205147,0.00240732,0.004595892],"category_scores_gemma":[0.05409086,0.0008442517,0.001341108,0.001247398,0.002490097,0.009528064,0.00203871,0.00378911,0.0003060659],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001266954,"about_ca_system_score_gemma":0.0005925416,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002434118,"about_ca_topic_score_gemma":0.001905294,"domain_scores_codex":[0.998807,0.000351343,0.0001225932,0.0002922906,0.0002865254,0.0001402802],"domain_scores_gemma":[0.9750975,0.01824991,0.003354561,0.001936469,0.0008432493,0.000518308],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.0001581276,0.0001358927,0.02084132,0.0002014035,0.0001852191,0.001820601,0.0007476467,0.1223644,0.002657126,0.8172957,0.002083241,0.03150927],"study_design_scores_gemma":[0.00002619992,0.00004461643,0.005158238,0.00003350903,0.00005201922,0.0002883459,0.00007484484,0.4255226,0.0005708807,0.5677131,0.0004640156,0.00005156998],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.3386061,0.001550818,0.6475067,0.00305616,0.0001575851,0.00005978745,0.0002839053,0.0003621952,0.008416848],"genre_scores_gemma":[0.986311,0.0008301397,0.009704076,0.000137244,0.0001985862,0.00003737406,0.0001391595,0.00005238587,0.002590072],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.005469383,"threshold_uncertainty_score":0.02892518,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.049446937723888,"score_gpt":0.2939122905704769,"score_spread":0.2444653528465889,"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."}}