Forward-Looking Stress Testing Under Macro Scenarios: Stable SVaR Estimation Using a Hybrid GPR-HS Framework with SACS

arXiv:2606.07575v1 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 Historical Simulation (GPR-HS) framework of Vadrevu (2026) to forward-looking stress

Source: arXiv cs.LG — read the full report at the original publisher.

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