Advanced Risk Measurement in Multi-Asset Portfolios

You are managing a global multi-asset portfolio for a sophisticated institutional client. The portfolio encompasses a diverse range of assets, including equities, fixed income, alternatives, and foreign exchange. Your client is concerned about current market volatility, geopolitical risks, and their potential impacts on the portfolio's risk profile.

In your response, detail the appropriate risk measurement methodologies you would employ to assess and quantify the risk exposures within this multi-asset portfolio. Discuss the significance of metrics such as Value at Risk (VaR), Conditional Value at Risk (CVaR), stress testing, and scenario analysis. Additionally, consider how these methods can help in making informed decisions regarding asset allocation adjustments. Clarify the limitations of the risk measures used, particularly during periods of extreme market distress.