Liquidity-adjusted risk measures

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Çetin U., Jarrow R.A., Protter P.E.: Liquidity risk and arbitrage pricing theory. Financ. Stoch. 8(3), 311–341 (2004)

Dunkel, J., Weber, S.: Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models. In: Proceedings of the 2007 Winter Simulation Conference. pp. 958–966 (2007)

Dunkel J., Weber S.: Stochastic root finding and efficient estimation of convex risk measures. Oper. Res. 58(5), 1505–1521 (2010)

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Weber S.: Distribution-invariant risk measures, information, and dynamic consistency. Math. Financ. 16(2), 419–442 (2006)