We propose a formal definition of backtestable statistic: a backtest is a null expected value involving only the statistic and its random variable, strictly monotonic in the former. We discuss the relationship with elicitability and identifiability which turn out being necessary conditions. The...

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...