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I would say max(liq dur stock a, liq dur stock b) rather than min(liq dur stock a, liq dur stock b).

Kevin Dowd, Measuring Market Risk ,Chapter 2 is a good candidate.

Are you referring to the definition of coherence risk measure ?

The default was assumed to occur at the end of each year.

Just take a look at:

Everything depends on your value in the denominator. SD1 should be defined as a standard deviation of instrument that was used for hedging purpose. I got the same answer as you (-30) but unfortunatelly i put a wrong value into the denominator.

In terms of "pure" coherent risk measure, the ES was the easiest one to interpert (comparing with the second possible option - spectral risk measure).

As far as I remember the question was about coherence risk measure that is easy to interpret and definitely standard deviation is a wrong answer as it does not fulfill the axiom of translation invariance.