Risk measurement and management is an important and complex subject for hedge fund stakeholders, managers, and investors. Given that hedge funds dynamically trade a wide range of financial instruments, their returns show tail risk and nonlinear characteristics with respect to many financial markets that require advanced downside risk measures, such as value-at-risk, expected shortfall, and tail risk, to capture risk adequately. This chapter reviews the nature of these risks and presents the measurement tools needed, focusing on fixed-income instruments, derivative securities, and equity risk measurement, and stressing the importance of frequent assessment to capture the possibly rapidly changing risk profiles of hedge funds. This chapter also provides an overview of the linear factor models that investors often use to measure hedge fund risk exposures along many risk factors.