The Liquidity-at-Risk (short: LaR) is a measure of the liquidity risk exposure of a financial portfolio.
It may be defined as the net liquidity drain which can occur in the portfolio in a given risk scenario.
It is a conditional measure, which depends on the stress scenario considered.
By analogy with Value-at-Risk one may also define a statistical notion of Liquidity-at-Risk, at a given confidence level (e.g. 95%), which may be defined as the highest Liquidity-at-Risk that may occur across all scenarios considered under a probabilistic model, with probability higher than the confidence level.
[2] This statistical notion of Liquidity-at-Risk is subject to model risk as it will depend on the probability distribution over scenarios.