中文

Simulating Stress Laws under Extremal Dependence: Characterizing What Generative Models Must Preserve

风险管理 2026-08-13 v1

摘要

We study stress-scenario generation for systems driven by multivariate heavy-tailed risk factors. Within regions where several financial losses are simultaneously extreme, stress analysis concerns both the conditional law of the risk factors and the most plausible configurations producing those losses. We show that both are governed by the same limiting tail law. Preserving its measure recovers rare-event probabilities and scaled conditional stress laws, while misspecifying extremal dependence distorts some regular joint-stress probability. Its density governs reverse-stress optimization, whose maximizers identify the most plausible stress configurations. To exploit this common structure in finite samples, we develop SSGEN (Self-Similar Generative Estimation), which learns extremal dependence from intermediate exceedances and extrapolates to rarer levels using a Pareto radial component. Even when the target event is absent from the sample, we establish convergence rates for the generated conditional law, and data-driven reverse-stress solutions.

引用

@article{arxiv.2608.13056,
  title  = {Simulating Stress Laws under Extremal Dependence: Characterizing What Generative Models Must Preserve},
  author = {Mantu Gupta and Anand Deo},
  journal= {arXiv preprint arXiv:2608.13056},
  year   = {2026}
}

备注

56 pages, 7 figures. This article substantially extends the preliminary conference paper arXiv:2607.10700. The present paper characterises stress-law validity through limiting tail measures, develops reverse-stress theory, proves data-driven convergence rates, and adds financial-network experiments. The earlier paper additionally treats light-tailed generation and remains a distinct work