Dr. Samuel W. Malone
Director of Research
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
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.
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.
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.
