Allan M. Malz

The RiskMetrics Group

44 Wall Street

New York, NY 10005

United States

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SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 22,518

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18

CROSSREF CITATIONS

40

Scholarly Papers (6)

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1.

Option-Implied Probability Distributions and Currency Excess Returns

FRB of New York Staff Report No. 32
Number of pages: 61 Posted: 09 Nov 2006
Allan M. Malz
The RiskMetrics Group
Downloads 2,649 (10,136)
Citation 32

Abstract:

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exchange rates, option pricing

2.

Vega Risk and the Smile

RiskMetrics Working Paper No. 99-06
Number of pages: 34 Posted: 10 Apr 2000
Allan M. Malz
The RiskMetrics Group
Downloads 2,508 (11,049)
Citation 2

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3.

Do Implied Volatilities Provide Early Warning of Market Stress?

The RiskMetrics Group Working Paper No. 00-01
Number of pages: 26 Posted: 10 Mar 2000
Allan M. Malz
The RiskMetrics Group
Downloads 1,141 (36,776)
Citation 8

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4.

A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions

FRB of New York Staff Report No. 677
Number of pages: 42 Posted: 14 Jun 2014
Allan M. Malz
The RiskMetrics Group
Downloads 413 (137,493)
Citation 39

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option pricing, risk-neutral distributions

5.

Currency Option Markets and Exchange Rates: A Case Study of the U.S. Dollar in March 1995

Current Issues in Economics and Finance Vol. 1, No. 4, July 1995
Number of pages: 6 Posted: 19 Jul 2007
Allan M. Malz
The RiskMetrics Group
Downloads 271 (216,523)

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currency option, exchange rates, knock-out options

6.

Using Option Prices to Estimate Realignment Probabilities in the European Monetary System

Downloads 184 (312,291)

Using Option Prices to Estimate Realignment Probabilities in the European Monetary System

FRB of New York Staff Report No. 5
Number of pages: 50 Posted: 22 Jun 2007
Allan M. Malz
The RiskMetrics Group
Downloads 184 (311,780)
Citation 9

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European, monetary system, option, prices, risk, exchange rates, realignment

Using Option Prices to Estimate Realignment Probabilities in the European Monetary System

Journal of International Money and Finance, Vol. 15, No. 5, Oct. 1996, pp. 717-748
Posted: 18 Sep 2000
Allan M. Malz
The RiskMetrics Group

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Using Option Prices to Estimate Realignment Probabilities in the European Monetary System

FRB of New York Staff Reports No. 5
Posted: 18 Sep 2000
Allan M. Malz
The RiskMetrics Group

Abstract:

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