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Sam leads the quantitative research team within the CreditEdge™ research group. In this role, he develops novel risk and forecasting solutions for financial institutions while providing thought leadership on related trends in global financial markets.

He is author of the book Macrofinancial Risk Analysis, published in the Wiley Finance series with foreword by Nobel Laureate Robert Merton, as well as the author of more than 20 peer-reviewed articles in academic journals. He has BS degrees in mathematics and economics from Duke University, where he graduated summa cum laude, and a doctorate in economics from the University of Oxford.

Related Insights
Article

Stressed Realized LGDs: Forecasting Recovery Rates under Alternative Macroeconomic Scenarios

This article proposes a method of modeling realized losses given default (LGDs) as a function of macroeconomic drivers for stress testing purposes.

October 2017 WebPage Dr. Samuel W. Malone, Dr. Martin A. Wurm
Article

Modeling Stressed LGDs for Macroeconomic Scenarios

In this article, we model stressed LGDs as a function of macroeconomic drivers and find that LGDs sometimes lead PDs by several months during crisis periods.

July 2017 WebPage Dr. Samuel W. Malone, Dr. Martin A. Wurm
Webinar-on-Demand

Brexit Fallout: Using Scenario Analysis and a Systemic Risk Approach to Assess Corporate Credit Risk

The June 23rd referendum, in which UK voters chose to leave the European Union, has fanned financial volatility and may precipitate a recession in the UK economy. The updated economic and financial outlook has implications for corporate credit risk.

August 2016 WebPage Glenn Levine, Danielle Ferry, Dr. Samuel W. Malone
Article

Solving the Counterparty Default Scenario Problem

This article introduces Credit Risk Cascades, a new model that forecasts probability of default of financial institutions under compound scenarios. The model seamlessly integrates macroeconomic, counterparty, and systemic risk projections.

June 2016 WebPage Dr. Samuel W. Malone
Article

Benefits & Applications: AutoCycle - Vehicle Residual Value Forecasting Solution

With auto leasing close to record highs, the need for accurate and transparent used-car price forecasts is paramount. Concerns about the effect of off-lease volume on prices have recently peaked, and those exposed to risks associated with vehicle valuations are seeking new forms of intelligence. With these forces in mind, Moody's Analytics AutoCycle™ has been developed to address these evolving market dynamics.

May 2016 Pdf Dr. Tony Hughes, Dr. Samuel W. Malone, Michael Vogan, Michael Brisson
Whitepaper

Systemic Risk Monitor 1.0: A Network Approach

In this article, we introduce a new risk management tool focused on network connectivity between financial institutions.

July 2015 Pdf Dr. Tony Hughes, Dr. Samuel W. Malone
Webinar-on-Demand

Measuring Systemic Risk in the SE Asia Financial System

In this webinar, Moody’s Analytics combines the techniques of network analysis with the richness of Moody’s CreditEdge™ platform to compute systemic risk measures spanning the last 20 years for five major southeast Asian economies.

June 2015 WebPage David Hamilton, Dr. Samuel W. Malone
Article

Measuring Systemic Risk in the Southeast Asian Financial System

This article looks back at the Asian financial crisis of 1997-1998 and applies new methods of measuring systemic risk and pinpointing weaknesses, which can be used by today’s financial institutions and regulators.

May 2015 WebPage David HamiltonDr. Tony Hughes, Dr. Samuel W. Malone
Webinar-on-Demand

Learnings from CCAR 2015 and Beyond

In this webinar, Moody's Analytics experts revisit the CCAR 2015 scenarios, review industry results and discuss how to identify and quantify Systemic Risk.

April 2015 WebPage Mark Zandi, Anna Krayn, Dr. Samuel W. Malone
Article

Beyond the Regulation: Exploring an Innovative Tool to Gauge Counterparty Credit Risk

In this article, we highlight a new network-based toolkit that helps firms deal with associated regulatory requirements related to single-counterparty credit limits.

WebPage Dr. Samuel W. Malone, Ed Young
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