Risk measures for different assets

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You're confounding a few distinct concepts here... VAR and others like it can be applied to any portfolio, regardless of the assets/securities in it. The more market-specific exposure measures are used, first and foremost, for PNL decomposition and explanation.

Thank you, Martinghoul.

Sure, VaR/ES and the likes can be used to any type of portfolio. No disagreement here. I just wanted to capture all the appropriate risk measures.

I'd appreciate if you could comment on the market-specific exposure measures for different sorts of instruments.

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I agree with Martinghoul.

Your question is a little ambiguous to me. I don't know anything about commodities, but as far as interest rate derivatives, you'll want to look at DV01 (linear estimate of your P&L from a 1 bp shift in the curve), your xccy risk for certain swaps, and probably volatility / liquidity if you're dealing with emerging markets.

Hey BayStreetShark, I am not disagreeing here. I just wanted to know if there are any other risk measures which are broadly used in monitoring associated risks of different asset classes so I could show them to my boss all the available options out there.

Thanks for the comment though.

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Nothing beats sensitivity tables that stress all your underlying risk factors ;)

Even with todays technology, when i was trading single stock vol on the sell side wit ha huge book, the best tool was printed out tables of all my risk sensitivities stressed by spot/vol/divs

On a single book level or single instrument level, the risk factors always boil down to sensitivty to underlying risks (you can call them whatever you want, be it delta/dvo1/cso1 etc but the principles behind each is hte same, move the underlying risk factor a little bit and see pnl).

VAR is something that is more useful for someone who needs to get a sense of risk on a trading floor level (i.e. head of trading floor, CFO, CEO, investors etc).

Thank you, derivstrading.

Sensitivity tables is an interesting idea. I think DV01 does a good job for Fixed Income portfolio. Also, I have just found the following (from one of the Fabozzi series), which is more or less what I was looking for:

Gotta find something like the above for Equities, Commodities, and FX. And maybe some Futures specific risk factors.

Thats where the sensitivity table comes into play. Anyone who trades a non linear product and thinks they can get a sense of risk from a single number is bound to get a huge reality check at some point.