The paper applies PCA, autoencoder, and variational autoencoder pipelines to Indian sector portfolios and reports elevated tail risk during historical crises, though the VAE sampling does not actually produce stressed outcomes.
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Machine Learning Based Stress Testing Framework for Indian Financial Market Portfolios
The paper applies PCA, autoencoder, and variational autoencoder pipelines to Indian sector portfolios and reports elevated tail risk during historical crises, though the VAE sampling does not actually produce stressed outcomes.