Andrew Kalotay Associates, Inc. is a leading authority on corporate and municipal debt management and a provider of high precision, high speed fixed income analytics. AKA's clients include major corporations, agencies, municipalities, sovereigns, investment banks, and financial technology firms.
Andrew Kalotay PhD is a member of the Fixed Income Analyst Society's
"Hall of Fame."
Andrew Kalotay PhD is a charter member of the Risk "Who's Who."
Andrew Kalotay is the inventor of the ratchet mortgage.
BondOASTM prices 120,000 callable bonds and 600,000 bullets per minute.
TIPSValTM now offers extensive coverage of global inflation-indexed debt.
AKA provides the intra-day repricing engine for municipal bond ETFs.
AKA is involved in a collaborative effort to increase transparency in the municipal bond market.
NEWS AND HEADLINES
March 2008
Andrew Kalotay was a presenter at the Society of Actuaries Investment Symposium-Financial Opportunities in a Changing World in New York.
February 2008
AKA selected by the Government of Canada to develop, implement, and operate a live yield curve model.
...Part of the team advising Dormitory Authority of the State of New York (DASNY), one of largest municipal bond issuers in the US.
Deane Yang is quoted in Bloomberg: Hidden Swap Fees by JPMorgan, Morgan Stanley Hit School Boards
January 2008
Andrew Kalotay is quoted in Boston.com: Job Followed Fast-Track State Bond Deal
December 2007
Andrew Kalotay is quoted in The Bond Buyer: Intraday Bond Pricing for ETFs and Beyond
IN THE SPOTLIGHT
Mortgage Servicing Rights and Interest Rate Volatility
Mortgage Risk (May 2008)
We demonstrate the deficiency of standard prepayment models, which are not volatility dependent, and therefore leading to counterintuitive computer-generated results. We investigate this question by using a volatility dependent prepayment model and by considering MSRs simply as IO strips of MBSs. We prove by this analysis that while the selection of prepayment model is important for the valuation of MSRs and IOs, it also has far-reaching ramifications with respect to the proper valuation of MBSs.
UPCOMING & RECENT APPEARANCES
GFOA Conference
June 15 2008, Ft. Lauderdale, FL
"Callable vs. Non-callable Bonds"
Society of Actuaries Investment Symposium
March 25 2008, New York, NY
"Measuring Risk: Realities and Illusions and Worse"
BlackRock BRS Financial Seminar Series (By Invitation only)
March 14 2008, New York, NY
"How Volatility Affects the Value of Mortgage Servicing Rights"