More than ever risk managers in financial institutions have to assess the risk of financial products and portfolios in a rigorous way. With his new hooky Professor Danielsson has risen to the task and produced a great hook that combines his expertise with years of teaching market risk at LSE and other major universities. With perfect timing, this book achieves two objectives the academic and scientific community had to face: on the one hand it addresses the latest analytical techniques in the exact computation of risk measures, their use and their limitations, and on the other hand it considers the issue of risk pricing during a crisis. A real accomplishment and a must read for both risk professionals and students in the quantitative finance track. Xavier Freixas, Universitat Pompeu Fabra “I believe that this book covers the spectrum of quantitative techniques that any student of risk management should cover. The book moves gradually from traditional risk measures to downside risk measures and their application in stress testing. Advanced estimation of volatility models and use of extreme value theory are not eschewed and are the way to go for scenario analysis. A great added value of the book is the programs for all routines both in R and MATLAB®. The book ventures into the barren area of endogeneity of risk drivers. If I have to make a prediction, I would venture that this will keep scientists and markets busy for years to come. In short, a highly recommended book for any student of modern risk management techniques and their uses.” Professor Casper de Vries, Chair of Monetary Economics, Departments of Economics and Business, School of Economics, Erasmus University Rotterdam “This is an outstanding book on empirical finance. I wholeheartedly recommend it.” Professor Oliver B. Linton, Professor of Econometrics, London School of Economics “Financial Risk Forecasting is a tour de force. It is one of those rare works which successfully combine accessibility …
