The article explores the relationship between two risk measures, Value-at-Risk (VaR) and Expected Shortfall (ES), in the financial sector. VaR is commonly used to predict potential risks, while ES covers the magnitude of risk. By comparing the two measures, researchers found that VaR is more accurate in forecasting losses and performs better in terms of coverage probability. This means VaR is a more effective risk measure for financial institutions. The study also includes a numerical analysis to show how optimization techniques can be applied in practice.