Zhibin Pan is currently a faculty member of the College of Economics and Management at East China Normal University. He is also a faculty member of Shanghai Merger & Acquisition Financial Research Institute. Dr. Pan received his PhD in Management from Shanghai Jiaotong University and his primary research area is financial risk management and corporate finance. Dr. Pan is a Chartered Financial Analyst (CFA).
This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.