For quite some time, the Value-at-Risk (VaR) was an appealing risk measure and even the industry and regulatory standard for the calculation of risk capital in banking and insurance. VaR is still the standard, but its allure for applications has been criticized in many theoretical works, and also in BASEL 3.5. The major reason for VaR’s falling out of favor is the conflicting messages it sends about diversification. The discovery of Expected Shortfall (ES) was in this respect a much welcome breakthrough. ES always rewards diversification, and is able to capture both the frequency and the magnitude of the tail risk. But what about tail variability? Can Gini Shortfall become the missing piece of the risk measurement puzzle? I will give an appraisal of the three aforementioned risk measures and the fascinating recent developments related to them.