This model explores the dynamic relationship between risk metrics, focusing on the differences between Normal and Modified Value at Risk (VaR) and Conditional Value at Risk (CVaR) as influenced by skewness and kurtosis in return distributions. Through comparative analysis, it emphasizes the greater impact of modifications on CVaR calculations, particularly in portfolios with significant deviations from normality. The findings highlight the importance of incorporating higher moments in financial risk assessments to enhance decision-making in investment strategies.