A fundamental aspect of proper risk management is the measurement,
especially forecasting of risk measures. Measures such as variance,
volatility and Value at Risk had been considered valid because of their
practical intuition. However, a solid theoretical framework it is important
to ensure better properties for risk measures. Such background is the risk
measures theory. This paper presents a comprehensive literature review on
risk measures theory, focusing in basic theory and extensions to this
fundamental outline. The paper is structured in order to cover the main risk
measures classes from literature, which are coherent risk measures, convex
risk measures, spectral and distortion risk measures and generalized
deviation measures.