2 papers
q-fin.RM2026
Simulating Stress Laws under Extremal Dependence: Characterizing What Generative Models Must Preserve
Mantu Gupta, Anand Deo
We study stress-scenario generation for systems driven by multivariate heavy-tailed risk factors. Within regions where several financial losses are simultaneously extreme, stress a…
q-fin.RM2026
An Extreme Value Perspective on Learning Stress Laws
Mantu Gupta, Anand Deo
We introduce Self-Similar Generative Estimation (SS-GEN), a method for simulating multivariate tail events and estimating rare-event probabilities in both heavy and light-tailed se…