Value at Risk and Diversification

3 Pages Posted: 28 Nov 2020

Date Written: February 22, 2020

Abstract

A more diversified portfolio could increase the failure probability of a bank.

Keywords: Value at Risk, Diversification, Regulatory Capital

JEL Classification: D81; G21; G32;

Suggested Citation

Rau-Bredow, Hans, Value at Risk and Diversification (February 22, 2020). Available at SSRN: https://ssrn.com/abstract=3711009 or http://dx.doi.org/10.2139/ssrn.3711009

Hans Rau-Bredow (Contact Author)

University of Wuerzburg ( email )

Faculty of Business Management and Economics
Sanderring 2
Würzburg, DE Bavaria D-97070
Germany

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