The article discusses different ways to measure and manage market risk, focusing on Value at Risk (VaR) and Conditional Value at Risk (CVaR). VaR helps estimate the maximum potential loss in investments, while CVaR goes further by considering the average loss beyond VaR. The researchers used econometric analysis to study these risk metrics and their applications, including index tracking. They found that CVaR provides a more comprehensive view of risk compared to VaR alone, making it a valuable tool for investors and financial analysts.