We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. As an example we consider the...

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from available observations and computing a quot;risk measurequot; which summarizes the risk of the portfolio. We define the notion of quot;risk measurement procedurequot;, which...

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 which is compatible with the axioms of coherency. We emphasize the difference between 'coherent risk measures',(CRM) defined on...