A one-sided Vysochanskii-Petunin inequality with financial applications

Mathieu Mercadier; Frank Strobel

doi:10.1016/j.ejor.2021.02.041

A one-sided Vysochanskii-Petunin inequality with financial applications

Mathieu Mercadier, Frank Strobel

Economics

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Abstract

We derive a one-sided Vysochanskii-Petunin inequality, providing probability bounds for random variables analogous to those given by Cantelli's inequality under the additional assumption of unimodality, potentially relevant for applied statistical practice across a wide range of disciplines. As a possible application of this inequality in a financial context, we examine refined bounds for the individual risk measure of Value-at-Risk, providing a potentially useful alternative benchmark with interesting regulatory implications for the Basel multiplier.

Original language	English
Pages (from-to)	374-377
Journal	European Journal of Operational Research
Volume	295
Issue number	1
Early online date	24 Feb 2021
DOIs	https://doi.org/10.1016/j.ejor.2021.02.041
Publication status	Published - 16 Nov 2021

Keywords

Risk analysis
Risk management
Finance
OR in banking

ASJC Scopus subject areas

Information Systems and Management
General Computer Science
Modelling and Simulation
Management Science and Operations Research

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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MercadierM2021onesidedAccepted author manuscript, 160 KBLicence: Creative Commons: Attribution-NonCommercial-NoDerivs (CC BY-NC-ND)

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A one-sided Vysochanskii-Petunin inequality with financial applications

Abstract

Keywords

ASJC Scopus subject areas

UN SDGs

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