Allan M. Malz, senior analytical advisor in the Markets Group at the Federal Reserve Bank of New York, will give a free public lecture on “Liquidity, Leverage and the Financial Crisis” Wednesday, November 14th, from 4-5:30 p.m. at the Simularium, Room 180 in the Engineering 2 building on the UC Santa Cruz campus.

The lecture is the fourth in the quarterly lecture series organized by SIGFIRM, the Sury Initiative for Global Finance and International Risk Management at UC Santa Cruz.

Malz has worked on implementing the Fed's emergency liquidity programs to address the financial crisis of 2008.  He is the author of Financial Risk Management: Models, History, and Institutions, a survey of quantitative risk management tools and of the public policy issues raised by the crisis.  Previous research includes forecasting financial crises, risk measurement for options, and estimating risk-neutral probability distributions.

Before rejoining the Fed, Malz was chief risk officer at several hedge fund management firms. He was head of research at RiskMetrics Group, which he joined when it spun off from J.P. Morgan.

Earlier in his career, Malz worked at the New York Fed as a researcher and foreign exchange trader. He holds a Ph.D. in economics from Columbia University, where he also serves as an adjunct professor in the Department of Industrial Engineering and Operational Research.

SIGFIRM addresses new challenges in global financial markets and is affiliated with the UCSC Department of Economics and draws from the Department of Applied Mathematics and Statistics. It seeks to bring together UC researchers with practitioners and policymakers to solve real-world problems of finance, including risk management, robust tools for financial decision-making, and policymaking in a globalized financial system.