Malky, who signed on Friday morning after a lightning transfer, enthuses:
"West Ham is a massive club and when I was told Norwich was accepting offers for me you look onwards and upwards - you want to play football and I jumped at the chance to come here.
"I played against West Ham last season so I obviously know them well from that, and I am friendly with the assistant manager, Peter Grant.
"When the club came in I didn't hesitate to come and talk to Alan Pardew."
Like Peter, Scottish international Malky is another ex-Celtic player, and he jokes:
"A little bit of Scotland is beginning to grow in Essex!"
It has been a whirlwind few hours for Malky, who explains:
"The club accepted a bid from Coventry but I was away with Scotland for 10 days and had not been involved with everything that has been going on down at Norwich.
"It was only half way through my trip that it came to my knowledge that this was going on but up to a night ago I was focused on the World Cup qualifier against Slovenia.
"I had to put everything out of my mind until then but things took their course yesterday and Coventry and West Ham had bids accepted - when a club the size of West Ham came in for me it was something I couldn't pass up."
Typically, he shows no bitterness at leaving despite playing nearly all of the Canaries' promotion-earning games last season.
"Don't get me wrong, I had six and a half fantastic years at Norwich City and the fans have been tremendous to me - I am leaving great people and great players at that club," he says.
"When we got promotion it fulfilled every player's dream to play at the highest level you can and I am no different - I was looking forward to playing in the Premiership this season after playing 50-odd games for Norwich last season.
"I was anticipating playing against the likes of Manchester United, Arsenal, and Newcastle this season but as of the last 10 days or so it has been shown that that is not going to happen with the club - and that they were going to accept offers for me.
"As soon as that realisation was made I was disappointed I was not going to be given that chance - but it was then a case of, 'okay, but I have to play football.'
"I am a footballer and I didn't want to sit in all these nice grounds watching football for the next six months all over the country.
"As a footballer I want to play football every week and, as disappointed as I was not to be given the chance to play in the Premiership, West Ham was the place to come - and I want to make sure I get into the Premiership with West Ham next season.
"Footballers inherently want to play football and they want to get involved every week, so West Ham have given me the opportunity for which I am grateful."
Malky, who immediately got the team coach to Sheffield upon agreeing terms, faced the Hammers last season and recalls:
"When I played against West Ham last year it was like playing against a Premiership club.
"I have been down here with the boys for an hour and I haven't had chance to visit the ground or the training facilities.
"But everything I see is geared towards the Premiership; that is the place to be and where I would be wanting to go.
"I can see that happening with the ambition of the boys and the manager, who is very positive and wants the best for West Ham and his players - which showed in everything he said to me.
"It was such enthusiasm that helped me make my choice in coming here and it was nice that business was done quickly and tied up at West Ham's end."
As well as Peter Grant, Malky also personally knows fellow Scot Christian Dailly, currently on the injured list, of course.
"I have not had the chance to speak to Christian yet but I have been to internationals with him and he is a smashing guy," says Malky.
"Hopefully when I get the chance to talk to him we will have a good chat about the club and take it from there - linking up with another member of Scotland makes it attractive as well."
Whether he plays at the weekend remains to be seen - but he is ready if called upon.
"I have come off the back of two internationals in four days and been doing a lot of travelling," he says.
"I had a medical very late last night and signed the papers this morning so I will take it from there."
He is reluctant to describe his own attributes, though, and says simply:
"I am a central defender but I am not going to say what I am good at and not good at - I will let the fans judge for themselves."