Research

In creating fixed-income analytic models, Andrew Kalotay Associates draws upon pioneering research published by Dr. Kalotay and his associates over more than three decades. A member of the Fixed Income Analysts Society’s Hall of Fame, Dr. Kalotay’s innovations include the ratchet bond and ratchet mortgage; the Volatility Reduction Measure (for hedge effectiveness testing under FAS 133); and the concepts of refunding efficiency as applied to both corporate and municipal bonds and mortgages. He has authored or co-authored more than 50 journal articles on a wide range of topics. 

Mortgage-Backed Securities and Mortgages

Bond Valuation and Structuring

Debt Management

  • Calling and Refunding
  • Structured Transactions and Interest Rate Derivatives
  • Tax-Driven Transactions
  • Accounting and Regulatory Finance

Municipal Finance - For Academics

Municipal Finance - For Practitioners

Innovations

 

Recent Research

Don't Let Your Tax-loss Harvest Become a Harvest of Regret

Bond Buyer January 30, 2018

Andy Kalotay's commentary in The Bond Buyer explains how NOT to harvest munis. Financial advisors lack the tools to calculate the benefit from selling, and they routinely recommend transactions that are actually wasteful. With rates set to move higher, many opportunities will present themselves; smart players will want to be prepared with the right tools.

Municipal bond insurance: identifying the best payment plan

emeraldinsight.com

http://www.emeraldinsight.com/doi/full/10.1108/JRF-06-2016-0082

Don’t Waste a Free Lunch: Managing the Advance Refunding Option

Journal of Applied Corporate Finance

After-Tax Portfolio Value: The Missing Tax Option

Journal Of Investment Management, Vol. 14, No. 4, (2016), pp. 1–10

After-tax performance measurement requires a rigorous definition of after-tax portfolio value, which is also a prerequisite for effective portfolio management.

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