A good starting point is the following paper:
Risk Measures in Quantitative Finance by Sovan Mitra (2009)
From the abstract:
"[...] Despite risk measurement’s central importance to risk management, few papers exist reviewing them or following their evolution from its foremost beginnings up to the present day risk measures.
This paper reviews the most important portfolio risk measures in Financial Mathematics, from Bernoulli (1738) to Markowitz’s Portfolio Theory, to the presently preferred risk measures such as CVaR (conditional Value at Risk). We provide a chronological review of the risk measures and survey less commonly known risk measures e.g. Treynor ratio."
For your own experiments I recommend the PerformanceAnalytics R package.
The documentation is quite exhaustive and has many formulas and references included.
The vignette gets you started.