RiskMetrics' head of quant research joins Clinton Group
RiskMetrics' head of quantitative research, Allan Malz, has left to join New York investment company the Clinton Group, said a RiskMetrics spokesman.
Malz’s research on extracting information on market sentiment from derivatives prices has been published in the Journal of International Money and Finance and the Journal of Derivatives. Malz was also published in Risk in November 2001 with an article entitled Crises and Volatility, where he analysed the behaviour of forward-looking asset prices during market crises, focusing on historical and implied volatilities. He argued that the latter contains useful information for predicting market stress in the immediate future.
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