Are there any books with practice problems for Market Risk, with special emphasis on vanilla and exotic options? Or should I look into old exam papers from FRM as sold by Kaplan/GARP?
Lookup something like "free FRM exam" or "FRM exercises". Here is a free exam from GARP itself, with explanations: http://www.garp.org/media/613028/frm%20practice%20exam052711.pdf
I hope this helps
Interesting question. The one book I heard about is "Market Risk Analysis" by Carol Alexander. However I think you should try to search for some company specific materials. Sometimes big banks like Credit-Suisse or Deutche Bank publish some materials which are hard-to-find by other means.
I'm not an expert of market risk, but, as regards the market risk references I know, the best one and more related to the question posted above is Dynamic Hedging by N. N. Taleb.
Here below you can find the full reference:
Taleb, Nassim. Dynamic hedging: managing vanilla and exotic options. Vol. 64. John Wiley & Sons, 1997.
It concentrates the book on options trading mainly, but you can find it useful in terms of risk management too, and, so I suggest you read that by integrating with more recent papers about the topic.