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I guess it depends on what they're referring to... The traditional swap curve (LIBOR-based) is certainly not risk free, as evidenced by the experience of the financial crisis and the resulting migration to OIS discounting. The OIS curve (which is a kind of swap curve...) is now the standard risk-free curve. The Treasury yield curve is not favored, because ...


The work of the NYU V-Lab is interesting to me. They try to measure risk in the system as a whole "systemic risk", rather than risk in a single portfolio.


communicate risk in terms of loss to a given portfolio in simple terms so that ANY client would understand.


If you are after treasuries, you can check http://www.newyorkfed.org/research/staff_reports/sr381.pdf which discusses trade impact on BrokerTec. If you are after equities, the literature is enormous, you can pretty much google for "trade impact limit order book" or smth similar. In practice, it's an empirical approach: you put all the factors, that seem ...

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