A one-sided Vysochanskii-Petunin inequality with financial applications
Résumé
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.
Fichier principal
A one-sided Vysochanskii-Petunin inequality with
financial applications.pdf (150.04 Ko)
Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)