Quantitative Risk Management

This book is intended for practitioners, masters, and Ph.D. students in the area of quantitative finance. This book assumes that you are well versed in mathematics, probability, and statistics required for financial risk management. It might not be suitable for people looking at introductory knowledge in quantitative finance. This book covers VaR using EVT and Copula in detail.

This is an excellent book covering Market, Credit and Operational Risk with the Mathematical and Statistical flavour. But I would not recommend it unless you have had exposure to PhD level coursework in Mathematics and Statistics.