Wei-Qiang Huang is Associate Professor of Finance at Northeastern University in People’s Republic of China. He was a visiting scholar of University of Florida during 2015-2016. His main current research interests include financial systemic risk management, financial networks and complex systems. He has published one book and over 40 articles appearing in Physica A: Statistical Mechanics and its Applications, Chaos, Solitons & Fractals, International Journal of Intelligent Systems, and others. He was the principal investigator sponsored by National Natural Science Foundation of China, Humanity and Social Science Foundation from the Ministry of Education of China and Post-doctor Science Foundation of China. He has also received the Prize of Academic Achievement in Natural Science in Liaoning Province in China several times.
The authors put forward the concept of the joint lower-tail risk of liquidity and investor sentiment and investigate the issue of lower-tail risk premiums in the Chinese stock market.
In this paper, the authors propose a measure for systemic risk, CoCVaR, the conditional value-at-risk (CVaR) of the financial system conditional on an institution being in financial distress.