{"id":"W4249095209","doi":"10.32920/ryerson.14647032.v1","title":"Higher dimensional probability of default in structural models","year":2021,"lang":"en","type":"preprint","venue":"","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"McMaster University; Toronto Metropolitan University","funders":"","keywords":"Portfolio; Joint probability distribution; Default; Econometrics; Monte Carlo method; Probability distribution; Value at risk; Dimension (graph theory); Probability of default; Expected shortfall; Multivariate normal distribution; Mathematics; Credit risk; Economics; Multivariate statistics; Computer science; Actuarial science; Statistics; Financial economics; Risk management; 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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0002401772,0.0001791011,0.0006364592,0.0001828804,0.00002806681,0.00003257905,0.0001941109,0.0003171903,0.0008255613],"category_scores_gemma":[0.00005881449,0.0002002068,0.0002144039,0.0001807121,0.00007156156,0.0001249726,0.0004039972,0.0003335025,0.00001032581],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001410171,"about_ca_system_score_gemma":0.0001038377,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003133354,"about_ca_topic_score_gemma":0.0007803094,"domain_scores_codex":[0.9982713,0.00001284159,0.0009182668,0.0005525197,0.00005199634,0.0001930361],"domain_scores_gemma":[0.9989878,0.00003858246,0.0003413194,0.0005048655,0.00008136135,0.00004605873],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00001380639,0.00009206307,0.118345,0.0001064539,0.00002694192,0.000002563307,0.0002698954,0.1233532,0.000006025547,0.7571738,0.0001214115,0.0004887886],"study_design_scores_gemma":[0.0001630823,0.000006508048,0.4710619,0.00002675548,0.000002615959,3.833173e-7,0.000006462257,0.04509093,0.00001474303,0.4832868,0.000174728,0.0001650675],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9799667,0.001459199,0.001983964,0.0002279532,0.0009787122,0.0002838508,0.0002942259,0.00001889953,0.01478652],"genre_scores_gemma":[0.9924203,0.00003653433,0.006519587,0.00001184679,0.00008468163,0.00003039502,0.0001566596,0.00001515485,0.0007249014],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.3527169,"threshold_uncertainty_score":0.9039317,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06070042509836066,"score_gpt":0.2444861454867485,"score_spread":0.1837857203883878,"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."}}