{"id":"W4388439167","doi":"10.7202/1091946ar","title":"A Note on the Valuation of a CDO and of an n-to-Default CDS Without Monte Carlo Simulation","year":2009,"lang":"fr","type":"article","venue":"Assurances et gestion des risques","topic":"Credit Risk and Financial Regulations","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Collateralized debt obligation; Monte Carlo method; Valuation (finance); Credit default swap; Credit derivative; Econometrics; Mathematics; Economics; Credit risk; Actuarial science; Statistics; Accounting; Finance","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001106707,0.0001772283,0.0004154424,0.000233216,0.0001495211,0.00005950672,0.0001269472,0.0001761958,0.00002165871],"category_scores_gemma":[0.0008909347,0.000175162,0.00009678834,0.000412496,0.0002025017,0.0005159579,0.00001510645,0.0001523964,0.00001056742],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00008206636,"about_ca_system_score_gemma":0.00003140382,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001116514,"about_ca_topic_score_gemma":0.0008340527,"domain_scores_codex":[0.9985469,0.0001335554,0.0006911511,0.0003201889,0.0001197934,0.0001883846],"domain_scores_gemma":[0.9984235,0.0004323275,0.0005446403,0.0003053296,0.0002310891,0.00006315277],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"observational","study_design_scores_codex":[0.0001315284,0.000179596,0.0248705,0.00003955325,0.00002388298,4.491379e-7,0.003791421,0.7021328,0.00007186839,0.04135239,0.0001290917,0.2272769],"study_design_scores_gemma":[0.0002282734,0.000571181,0.5706013,0.000186411,0.00002506398,9.049823e-7,0.00007018064,0.4102052,0.0001780003,0.01554656,0.002261899,0.0001249737],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9723851,0.003017077,0.01297642,0.008852293,0.0003243869,0.0004650562,0.0002955943,0.0000203852,0.001663666],"genre_scores_gemma":[0.9951679,0.001320434,0.002710641,0.0000799331,0.0001299872,0.00001556285,0.00001151202,0.00001483623,0.0005491754],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.5457308,"threshold_uncertainty_score":0.7142897,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.06649216980978254,"score_gpt":0.3099288525384163,"score_spread":0.2434366827286338,"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."}}