Liquidating large portfolios in illiquid markets can trigger relevant execution costs and these in turn affect the total riskiness of the portfolio. In this talk, I will review some of the recent attempts to incorporate liquidity and market risk in a single figure. In particular, I will discuss the innovative models proposed by Bangia et al. (1998) and Almgren and Chriss (2001). Finally, I will present a setting, proposed in Acerbi and Scandolo (2008) which links market liquidity, funding liquidity and coherent risk measures. Il seminario si terra' presso la sala grande di Prometeia (primo piano accesso da via Marconi)