A one-sided Vysochanskii-Petunin inequality with financial applications

Mathieu Mercadier and Frank Strobel

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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.

Keywords: risk analysis; risk management; finance; OR in banking (search for similar items in EconPapers)
Date: 2021-02
New Economics Papers: this item is included in nep-rmg
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Published in European Journal of Operational Research, inPress, ⟨10.1016/j.ejor.2021.02.041⟩

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Journal Article: A one-sided Vysochanskii-Petunin inequality with financial applications (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03241628

DOI: 10.1016/j.ejor.2021.02.041

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