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FAILURE OF SADDLE-POINT METHOD IN THE PRESENCE OF DOUBLE DEFAULTS
Lütkebohmert, Eva
-
University of Bonn, Germany
-
2009
We show that the
saddle-point
approximation
method to quantify the impact of undiversi?ed idiosyncratic risk in a …
Persistent link: https://www.econbiz.de/10005009777
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