Kevin Dowd has written an excellent introduction to VaR and related risk measures that will appeal to several audiences. The first two-thirds of the book are a non-technical treatment of market risk measures that will be accessible to all financial professionals.

This refers to specific computational techniques that are explained in a "toolkit" that comprises the last third of the book.

The opening chapter describes standard risk measures such as duration and the Greeks. It discusses financial risk management and its origins. It then introduces VaR and assesses some of its strengths and weaknesses as a risk measurement tool. Subsequent chapters focus on how to calculate VaR. They describe VaR measures that support both quantile-of-loss and expected-tail-loss (ETL) VaR metrics.

As is his style, Dowd surveys the literature broadly, presenting a wealth of techniques discussed in the VaR literature. He cites references carefully, so you know where to follow-up for more details. In addition to standard linear, historical and Monte Carlo methods of calculating VaR, more specialized techniques are covered, including: