In this paper we show how risk measures can be embedded within the framework of credibility theory. More specifically, we introduce a new type of risk measures, the credible risk measures, in order to capture the risk of an individual contract (or financial portfolio) as well as the industry risk consisting of several similar, but not identical, contracts (or financial portfolios). We consider the classical case, as well as the regression case. Examples are given based on the Fama/French data.