Allan M. Malz

The RiskMetrics Group

44 Wall Street

New York, NY 10005

United States

SCHOLARLY PAPERS

6

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Top 10,693

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6,449

SSRN CITATIONS
Rank 21,884

SSRN RANKINGS

Top 21,884

in Total Papers Citations

10

CROSSREF CITATIONS

35

Scholarly Papers (6)

1.

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 2,350 (8,634)
Citation 1

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2.

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 2,337 (8,754)
Citation 32

Abstract:

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exchange rates, option pricing

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 1,076 (28,975)
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 280 (153,100)
Citation 21

Abstract:

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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 243 (176,193)

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currency option, exchange rates, knock-out options

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 163 (252,860)
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

Abstract:

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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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