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Sam Malone

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.

Published Work
Article
illuminated charts and graphs

Dealing With Fallen Angel Risk

We test the early warning power of the CreditEdge Deterioration Probability (DP) metric for Fallen Angel downgrades.

May 2019
Webinar-on-Demand
Abstract interior architecture design reflecting sunlight.

Moody's Analytics Webinar: Topics@CreditEdge Navigating Choppy Markets - Focus on Asia

Since the Asia crisis, most countries in Asia have displayed a longer term secular trend of falling default risk.

February 2019
Article
creditedge

The Deterioration Probability - At a Glance

The Deterioration Probability - At a Glance

March 2018
Article
creditedge

The Deterioration Probability Methodology

The Deterioration Probability Methodology

March 2018
Article
Green apple cutting in the shape of pie chart on back board

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
Article
Business building architecture on sky background

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