Yang Zhao

Yang Zhao is now a research statistician developer in the Econometrics and Time Series Analysis group at SAS Institute, Inc. He is responsible for researching and developing SAS procedures in the field of sequential Monte Carlo methods and causal inference. Dr. Zhao obtained his PhD in operations research from North Carolina State University. His research focused on risk management, volatility models, and Monte Carlo methods.

Articles by Yang Zhao

Original research

A simple and robust approach for expected shortfall estimation

This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.

05 Jul 2021