Risk USA 2003: Jarrow describes new research on liquidity risk

Speaking at the annual Risk USA conference in Boston, Jarrow sought to set his research apart from the growing body of literature on market microstructure. Although he praised this work, he suggested it might not be feasible to apply it in actual market situations.

Jarrow said his recent years of research on credit risk motivated his current interest in liquidity risk. Credit markets are relatively illiquid, and any attempts to infer probability of default and recovery rates from credit market

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