A one-sided Vysochanskii-Petunin inequality with financial applications

DOI10.1016/j.ejor.2021.02.041zbMath1487.60045OpenAlexW3129894746MaRDI QIDQ2239880

Mathieu Mercadier, Frank Strobel

Publication date: 5 November 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.02.041

zbMATH Keywords

risk analysisfinancerisk managementor in banking

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Inequalities for sums, series and integrals (26D15)

Cites Work

• The dip test of unimodality
• Credit spread approximation and improvement using random forest regression
• Computing near-optimal value-at-risk portfolios using integer programming techniques
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Estimating value-at-risk and expected shortfall using the intraday low and range data
• Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility
• Assessing financial model risk
• An analysis of variance test for normality (complete samples)
• Unnamed Item

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