SVaR
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Forward-Looking Stress Testing Under Macro Scenarios: Stable SVaR Estimation Using a Hybrid GPR-HS Framework with SACS
Announce Type: cross Abstract: Regulatory stress testing frameworks, including the Comprehensive Capital Analysis and Review (CCAR) and the Internal Capital Adequacy Assessment Process (ICAAP), require robust Stressed Value-at-Risk (SVaR) estimation under forward-looking macroeconomic scenarios. Traditional parametric approaches often exhibit numerical instability under extreme shocks, reducing the reliability of capital projections. This paper extends the Hybrid Gaussian Process Regression...
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arXiv:2606.03227v1 Announce Type: new Abstract: Causal discovery with instantaneous effects in multivariate time series is challenging, as the instantaneous structure must be acyclic. Prior methods enforce this by either separating instantaneous and lagged estimation into multi-stage pipelines or imposing algebraic acyclicity constraints via complex augmented Lagrangian optimization, both of which incur high computational cost.