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:2212.05716 , year=
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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.