Good Books for Financial Risk Management

[clatty cake]

I am a recent financial mathematics graduate and have been tempted to purchase Jon Danielsson's Financial Risk Forecasting. It has applications in R and Matlab which I used widely during my time in uni, and I'd like to add to my skills of those programs.

Has anybody read this book, and if so what do you think of it? Does anybody have any other recommendations?

 

[Jose T]

Not a risk management book, but Ruey Tsay's Analysis of Financial Time Series has a nice chapter on VaR. I like this book in general a lot; it's very handy. Though maybe there's a better resource dedicated to risk management.