A large-deviations method generates plausible stress scenarios for financial losses by concentrating on most likely configurations conditional on large losses, recovering stressed loss laws even with sparse data.
arXiv preprint arXiv:2506.16230 , year=
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.RM 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Generating Plausible Stress Scenarios via Large Deviations
A large-deviations method generates plausible stress scenarios for financial losses by concentrating on most likely configurations conditional on large losses, recovering stressed loss laws even with sparse data.