A one-sided Vysochanskii-Petunin inequality with financial applications

Mathieu Mercadier and Frank Strobel

European Journal of Operational Research, 2021, vol. 295, issue 1, 374-377

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.

Keywords: Risk analysis; Risk management; Finance; OR in banking (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:295:y:2021:i:1:p:374-377

DOI: 10.1016/j.ejor.2021.02.041

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