Much of the rhetoric around risk is still confined to volatility, but it is broader than that because even low volatility can mask a number of threats to your returns. These can include liquidity risk, default risk, mark-to-model risk, and the susceptibility of some asset classes to larger drawdowns than others.
It is also important to remember that none of the risk measures under discussion are perfect, nor can they exist in isolation. They all rely on backward-looking data, which is why it is important to use top-down macro analysis – or look at how global events could affect assets – to understand the dynamics in which they operate, what may change, and when.
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