{"id":"W3124367605","doi":"10.1002/fut.21823","title":"Equity Option Implied Probability of Default and Equity Recovery Rate","year":2016,"lang":"en","type":"preprint","venue":"Journal of Futures Markets","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Bank of Canada","funders":"University of Reading","keywords":"Equity (law); Probability of default; Economics; Put option; Equity risk; Financial economics; Equity capital markets; Equity ratio; Business; Actuarial science; Econometrics; Finance; Credit risk; Valuation (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":[0.003648463,0.0003381669,0.0006824938,0.001772974,0.0001756506,0.001482003,0.000753005,0.001374716,0.004386221],"category_scores_gemma":[0.04316502,0.0002196627,0.0002898694,0.001147199,0.0009918994,0.002449568,0.0007058524,0.001275604,0.0003603717],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004168387,"about_ca_system_score_gemma":0.0001759669,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001031685,"about_ca_topic_score_gemma":0.0005991751,"domain_scores_codex":[0.9989832,0.0003181708,0.0001166992,0.0002261005,0.0002725397,0.00008316367],"domain_scores_gemma":[0.964253,0.0247095,0.007010574,0.00188833,0.001504852,0.0006336375],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.0009166148,0.0002359544,0.6450555,0.0002660921,0.0004162842,0.001222337,0.0004926996,0.1871203,0.01139122,0.07245045,0.002282382,0.07815027],"study_design_scores_gemma":[0.00004539016,0.0001374175,0.3024758,0.00007755953,0.00008646963,0.0009818925,0.0001991222,0.5840393,0.006534136,0.1045646,0.0007378904,0.0001203927],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9330311,0.0003959866,0.06260086,0.0004658801,0.00002115055,0.00002983005,0.0005548706,0.0001974761,0.002703059],"genre_scores_gemma":[0.9970917,0.00006324302,0.00230328,0.00001564625,0.00001828894,0.000005079827,0.0001733777,0.000008467964,0.0003209648],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.004386221,"threshold_uncertainty_score":0.01929516,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05317834005235458,"score_gpt":0.2794788947704446,"score_spread":0.22630055471809,"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."}}