Shengyu Zhang

HomeStreet Bank

First Vice President Quantitative Manager

601 Union Street

Ste. 2000

Seattle, WA 98101

United States

SCHOLARLY PAPERS

5

DOWNLOADS

470

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Nonparametric versus Parametric Expected Shortfall

Number of pages: 58 Posted: 15 Mar 2016 Last Revised: 08 May 2019
R. Douglas Martin and Shengyu Zhang
University of Washington and HomeStreet Bank
Downloads 331 (117,205)
Citation 3

Abstract:

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Risk, expected shortfall (ES), maximum-likelihood estimator (MLE), influence functions, estimator variance, estimator standard error.

2.

Two Equivalent Parametric Expected Shortfall Formulas for T-Distributions

Number of pages: 4 Posted: 12 Dec 2016
Shengyu Zhang
HomeStreet Bank
Downloads 81 (380,846)

Abstract:

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3.

Influence Functions for Risk and Performance Estimators

Number of pages: 32 Posted: 09 Jul 2019
HomeStreet Bank, University of Washington and University of British Columbia
Downloads 39 (535,693)

Abstract:

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Risk estimator, performance estimator, influence function

4.

The Univariate t-Distribution Information Matrix

Number of pages: 8 Posted: 15 Dec 2017
Shengyu Zhang and Christopher G Green
HomeStreet Bank and Independent
Downloads 18 (664,743)
Citation 2

Abstract:

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t-Distribution, Information Matrix

5.

Nonparametric versus Parametric Expected Shortfall

Journal of Risk, Vol. 21, No. 6, 2019
Number of pages: 42 Posted: 20 Aug 2019
R. Douglas Martin and Shengyu Zhang
Independent and HomeStreet Bank
Downloads 1 (802,064)
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Abstract:

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risk estimator, expected shortfall (ES), maximum likelihood estimator (MLE), influence functions, standard error, coherence