{"id":"W4206617106","doi":"10.1111/mafi.12342","title":"Affine term structure models: A time‐change approach with perfect fit to market curves","year":2022,"lang":"en","type":"article","venue":"Mathematical Finance","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":3,"is_retracted":false,"has_abstract":true,"ca_institutions":"HEC Montréal","funders":"Fédération Wallonie-Bruxelles; Fonds De La Recherche Scientifique - FNRS","keywords":"Credit default swap; Prepayment of loan; Econometrics; Yield curve; Credit derivative; Cox–Ingersoll–Ross model; Credit risk; Affine transformation; Economics; Term (time); Credit default swap index; Mathematics; Credit valuation adjustment; Interest rate; Actuarial science; 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":[0.003000328,0.0008180685,0.001088049,0.001017029,0.0004726282,0.001710018,0.002534179,0.00299985,0.004921747],"category_scores_gemma":[0.01168471,0.0007223713,0.00161047,0.0008943033,0.001415404,0.002329238,0.001511847,0.002563148,0.0006001196],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001116996,"about_ca_system_score_gemma":0.001019969,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.007686261,"about_ca_topic_score_gemma":0.002925202,"domain_scores_codex":[0.9991372,0.0003603738,0.00003878442,0.0002099325,0.0001457039,0.0001080102],"domain_scores_gemma":[0.996349,0.001904427,0.0008088906,0.0003707651,0.0003330122,0.0002339265],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00004797067,0.00005197949,0.001454107,0.00004128647,0.00006121317,0.0002267925,0.0001147859,0.7556931,0.0009412508,0.2312949,0.001128739,0.008943968],"study_design_scores_gemma":[0.000009619668,0.00001775541,0.0002225965,0.000004335949,0.00001201661,0.00002203779,0.00001066028,0.9617254,0.00009966407,0.03724604,0.0006184004,0.00001150047],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.09481453,0.0004467908,0.8969858,0.001234136,0.0001034895,0.00007028902,0.0002518604,0.000264263,0.005828837],"genre_scores_gemma":[0.9293696,0.0006488301,0.05587859,0.0003006202,0.0002649532,0.0001631785,0.0003708611,0.0001841117,0.01281916],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.007686261,"threshold_uncertainty_score":0.01646483,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.04530499678773956,"score_gpt":0.2186599309913612,"score_spread":0.1733549342036216,"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."}}