There are lots of introductory texts on VaR and financial risk management. Marrison's is one of the best. Focusing exclusively on risk management within banks limits the book's audience, but it provides a context for deep understanding. No other book treats VaR, credit risk, ALM, RAROC, operational risk, and bank capital requirements in such a consistent, unified manner. Readers not only learn about risk measures, but they see how and why they are actually used in banks.

An aspect of the book that I really like is its emphasis of the similarities between risk measures. Introductory sections present market and credit risk measures side by side. They introduce factor sensitivities including duration and delta, and then immediately apply them to perform simple VaR calculations. Capital adequacy issues are introduced early and related to specific risk measures. In this manner, risk measures don't become silos in the readers mind. Instead, they form a fabric.

In addition to introductory chapters and a chapter reviewing essential formulas from probability and statistics, there are seven chapters on market risk, four chapters on ALM, six chapters on credit risk, two chapters on capital calculations, two chapters on RAROC, and a chapter on operational risk.

Discussions of market risk describe traded instruments and introduce standard risk measures. The main focus is on VaR. A chapter takes a detailed look at linear, historical and Monte Carlo VaR measures. Another explains component VaR. There are discussions on backtesting and the limitations of VaR. A detailed chapter describes market risk management: policies, defining responsibilities, setting risk limits, designing risk reports, etc.