Download This PaperValue 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: 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
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