Does most financial institutions measure risks in terms of https://en.wikipedia.org/wiki/Coherent_risk_measure? Or are they using other/newer theoretical tools?
For example VaR, one of most widely used measure, is not coherent measure because it does not satisfy always sub-additivity property. However, under asumption of a normal distribution, VaR is sub-additive measure.
Since we cannot be sure whether normality assumption is satisfied, we have to combine VaR with other measures, for example CVaR which is sub-additive.
To be more concrete is difficult because each bank/financial institution has its own proprietary models.