The study investigates the application of CVaR and VaR approaches in risk assessment, demonstrating a discrepancy in accuracy between confidence levels. It highlights how crucial the choice of confidence level affects the accuracy of risk assessment. The study also demonstrates how adding the Generalised Breach Indicator and CVaR improves the accuracy of risk assessment in financial institutions. The study looks at risk assessment tools for different types of financial institutions, like public, private, and NBFC banks. It emphasizes how these tools are adaptable to different industry characteristics and have practical implications. It also offers customized risk management solutions, emphasizing how flexible these methodologies are. The study highlights the practical usefulness of VaR and CVaR techniques in enhancing the accuracy of risk assessment for financial institutions, while also offering insightful information about them. Bootstrap test, Kruskal Wallis Test, and GBI were used for the study. Sophisticated risk management frameworks are essential for maintaining stability and sustainability across multiple industries as the financial landscape changes.