A one-sided Vysochanskii-Petunin inequality with financial applications

Research output: Contribution to journalArticlepeer-review

Authors

Colleges, School and Institutes

External organisations

  • ESC Clermont Business School

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.

Details

Original languageEnglish
JournalEuropean Journal of Operational Research
Early online date24 Feb 2021
Publication statusE-pub ahead of print - 24 Feb 2021

Keywords

  • Risk analysis, Risk management, Finance, OR in banking