We discuss liquidity risk from a pure risk-theoretical point of view in the axiomatic context of coherent measures of risk. We propose a formalism for liquidity risk that is compatible with the axioms of coherency. We emphasize the difference between 'coherent risk measures' (CRM) ρ(X ) defined...

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from available observations and computing a 'risk measure' that summarizes the risk of the portfolio. We define the notion of 'risk measurement procedure', which includes both of...