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Generative Adversarial Regression (GAR): Learning Conditional Risk Scenarios

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  • Saeed Asadi
  • Jonathan Yu-Meng Li

Abstract

We propose Generative Adversarial Regression (GAR), a framework for learning conditional risk scenarios through generators aligned with downstream risk objectives. GAR builds on a regression characterization of conditional risk for elicitable functionals, including quantiles, expectiles, and jointly elicitable pairs. We extend this principle from point prediction to generative modeling by training generators whose policy-induced risk matches that of real data under the same context. To ensure robustness across all policies, GAR adopts a minimax formulation in which an adversarial policy identifies worst-case discrepancies in risk evaluation while the generator adapts to eliminate them. This structure preserves alignment with the risk functional across a broad class of policies rather than a fixed, pre-specified set. We illustrate GAR through a tail-risk instantiation based on jointly elicitable $(\mathrm{VaR}, \mathrm{ES})$ objectives. Experiments on S\&P 500 data show that GAR produces scenarios that better preserve downstream risk than unconditional, econometric, and direct predictive baselines while remaining stable under adversarially selected policies.

Suggested Citation

  • Saeed Asadi & Jonathan Yu-Meng Li, 2026. "Generative Adversarial Regression (GAR): Learning Conditional Risk Scenarios," Papers 2603.08553, arXiv.org.
  • Handle: RePEc:arx:papers:2603.08553
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    1. Magnus Wiese & Robert Knobloch & Ralf Korn & Peter Kretschmer, 2020. "Quant GANs: deep generation of financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 20(9), pages 1419-1440, September.
    2. Milena Vuletić & Felix Prenzel & Mihai Cucuringu, 2024. "Fin-GAN: forecasting and classifying financial time series via generative adversarial networks," Quantitative Finance, Taylor & Francis Journals, vol. 24(2), pages 175-199, January.
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