Value-at-Risk (VAR): A beginner's introduction by Moorad Choudhry
Value At Risk, VaR as a concept is, IMHO, best suited to measuring market risk in a trading book environment where one is marking the portfolio to market every day. However various forms of VaR methodology have also been applied to credit risk in a trading book or banking book, and also to liquidity risk. Of course, users must make up their own minds on where best they think VaR is applied.
The relevant reference is noted below:
An Introduction to Value-at-Risk by Moorad Choudhry:
https://amzn.to/403LOIR
The Principle of Banking 2nd Edition:
https://amzn.to/3l224LE