Yan Liqing, Department of Mathematics, University of Florida
Middle Meeting Room at Department of Mathematics, Shanghai Jiao Tong University
In this paper, we introduce the liquidity risk measures. The coherent risk measure does not include the liquidity effects. When the trading amount is so large that it will affect the market price, the positive homogeneity axiom will no longer hold. We set up a new axiom system for liquidity risk measure.