The article explores different ways to measure financial risk beyond the traditional normal distribution assumption. By analyzing various risk measures in non-normally distributed returns, the study found that most returns exhibit skewness and kurtosis, indicating they are not normally distributed. Different Value at Risk (VaR) methods were applied to measure risk, with stressed VaR showing higher volatility during crisis periods. The research suggests that using a variety of risk techniques is more effective than relying on a single universal measure.