Sam

Dr. Samuel Malone

Leads the quantitative research team within the CreditEdge™ research group at Moody's Analytics.

In this role, he develops novel risk and forecasting solutions for financial institutions while providing thought leadership on related trends in global financial markets.

Read more »

Recent Articles

Card image cap
Timing foreign exchange markets

To improve short-horizon exchange rate forecasts, we employ foreign exchange market risk factors as fundamentals, and Bayesian treed Gaussian process (BTGP) models to handle non-linear, time-varying relationships between these fundamentals and exchange rates...

Card image cap
Bayesian inference for a structural credit risk model with stochastic volatility and stochastic interest rates

We develop a novel structural credit risk model that extends the original Merton model by allowing for stochastic interest rates and stochastic volatility...

Card image cap
Optimal weather conditions, economic growth, and political transitions

Studies that test the effect of economic outcomes on political transitions using weather variations as instruments have generally overlooked findings from climate science that economic output is a hill-shaped, rather than linear, function of temperature and precipitation levels...

book

Macrofinancial Risk Analysis

1st Edition

"The publication of Gray and Malone's book marks a major tipping point in the history of the science of financial economics. Since its origins in the work of Black, Merton, and Scholes in the early 1970s, the option-pricing approach to risk analysis has found broader and broader application throughout the fields of economics and risk management. Finally it is being applied to the biggest risk-management issues faced by nations: the prevention of financial crises that can cause widespread economic hardship and dislocation for millions of people. I expect that this excellent book will be closely studied by policymakers and concerned citizens everywhere."

-Zvi Bodie, the Norman and Adele Barron Professor of Management, Boston University School of Management

Order »