3 papers in the archive (2024), average empirical rigor 6/10, average math complexity 7.8/10. Quadrant mix: Holy Grail ×3.
Works mostly in Risk Management & Tail Risk, Crypto Markets & DeFi, Insurance & Actuarial Risk.
Frequent co-authors: Yiying Zhang (3), Yunran Wei (1), Yifei Zhang (1), Limin Wen (1), Junxue Li (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Conditional risk measures and their associated risk contribution measures are commonly employed in finance and actuarial science for evaluating systemic risk and quantifying the effects of risk interactions. This paper introduces various types of contribution ratio measures based on the MCoVaR, MCoE
We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the “tail risk” of a risky position in scenarios where one or more market participants is experiencing financial distress. Various theoretical properties of Vulnerability Condition
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and (relative) spillover effects induced by systemic risks such as the w