Before revision:  We analyze drawdown duration, which measures the length of excursions below a running maximum , and liquidation stopping time, which denotes the first time drawdown duration exceeds a subjective liquidation threshold, in the context of coherent temporal path-dependent risk measures and show that they, unlike drawdown magnitude, do not satisfy any of the axioms for coherent risk measures.
After revision:  We analyze drawdown duration, which measures the length of excursions below a running maximum . Its properties in the context of coherent temporal path-dependent risk measures and show that they, unlike drawdown magnitude, do not satisfy any of the axioms for coherent risk measures.