LLM-Generated Counterfactual Stress Scenarios for Portfolio Risk Simulation via Hybrid Prompt-RAG Pipeline
通过提示与检索增强生成流程构造投资组合风险压力情景
We develop a transparent and fully auditable LLM-based pipeline for macro-financial stress testing, combining structured prompting with optional retrieval of country fundamentals and news. The system generates machine-readable macroeconomic scenarios for the G7, which cover GDP growth, inflation, and policy rates, and are translated into portfolio losses through a factor-based mapping that enables Value-at-Risk and Expected Shortfall assessment relative to classical…