  We present a general framework for measuring the liquidity risk. The
theoretical framework defines a class of risk measures that incorporate the
liquidity risk into the standard risk measures. We consider a one-period risk
measurement model. The liquidity risk is defined as the risk that a given
security or a portfolio of securities cannot be easily sold or bought by the
financial institutions without causing significant changes in prices. The new
risk measures present some differences with respect to the standard risk
measures. In particular, they are increasing monotonic and convex cash
sub-additive on long positions. The contrary, in certain situations, holds for
the sell positions. For the long positions case, we provide these new risk
measures with a dual representation. In some specific cases also the sell
positions can be equipped with a dual representation. We apply our framework to
the situation in which financial institutions break up large trades into many
small ones. Dual representation results are also obtained. We give many
practical examples of risk measures and derive for each of them the respective
capital requirement. As a particular example, we discuss the VaR measure.
