The dynamic of financial markets is determined by the corporate earnings prospects change but the capital investments also move as investors shift their tolerance to risk. In the finance theory, one of the most important observations is that investors expect higher return for taking higher risk (compared with risk-free situation). The risky assets are exchanged against risk free assets (treasury bills) only if there is an additional return for doing this. The relationship between risk and return is submitted to be a positive one. Risk aversion is present in the dimension of risk premium, any extra return being understood as a retribution for such investment behaviour. In the theory we can find relevant studies that are concentrated on the psychological dimension of risk aversion. A bad news or information about a potential financial market crisis could have a deep impact on the risk perception of investors. A significant change in their perception could affect the dimension of crisis on a particular local market. This study is focused on different methods used for measure the level of risk aversion. We offered also different perspectives on the behaviour of Romanian individual investors in terms of risk aversion, especially in this crisis moment.