a good book about the risk management, 'Risk and Asset Allocation' ( Attilio Meucci)
The following is his personal webpage:
http://www.symmys.com/AttilioMeucci/
It is very helpful to understand some risk models as he provide sufficient examples and studying materials, especially a complete Matlab package to fulfill the models in his book.
The attached files include this book, the program package and relative materials: the appendix, the errata, the slides.
The exercises of this book can be download from this link:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1447443
YOU CAN FIND THIS BOOK FROM THIS FORUM.
GOOD LUCK!