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Record W3121507508

On Models of Default Risk

2001· article· en· W3121507508 on OpenAlexaff
Robert J. Elliott, Monique Jeanblanc, Marc Yor

Bibliographic record

Venuenot available
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicCredit Risk and Financial Regulations
Canadian institutionsUniversity of CalgaryUniversity of Alberta
Fundersnot available
KeywordsFiltration (mathematics)JumpAsset (computer security)Intensity (physics)DefaultDefault riskMeaning (existential)EconometricsProcess (computing)Computer scienceCredit riskMathematical economicsActuarial scienceMathematicsEconomicsStatisticsPhilosophyFinancePhysicsEpistemology
DOInot available

Abstract

fetched live from OpenAlex

We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset?s filtration, and the intensity of the default time. We finally discuss some examples.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.000
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: Theoretical or conceptual
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.368
Threshold uncertainty score0.509

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.037
GPT teacher head0.215
Teacher spread0.179 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designTheoretical or conceptual
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations7
Published2001
Admission routes1
Has abstractyes

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