Bond Valuation and Structuring

Making Sense of the Make-Whole Call, From its Origins to BABs

The Bond Buyer (July 26, 2010)

Why investors don’t charge for make-whole calls

With Estate Puts, Beauty Is in the Eye of the Beholder

CFA Institute: Private Wealth Management Newsletter (August 2009)

A bond with an estate put (or survivor’s option) can be redeemed at face value by the holder’s heirs if the holder dies — an attractive feature to investors with a short life expectancy. How should an investor value such options?

Build America Bonds: Seeking the Missing Option

The Bond Buyer (May 11, 2009)

Taxable bonds awaken municipalities to the cost and value of the call option

What Makes the Municipal Yield Curve Rise?

The Journal of Fixed Income (Winter 2008)

The municipal yield curve’s permanent upward slope is a logical consequence of that curve being comprised of bonds callable at or close to par after 10 years. Previous researchers have overlooked this simple, straightforward explanation.

Callable Bonds: Better Value Than Advertised?

Journal of Applied Corporate Finance (Summer 2008)

The Right Discount Rate Can Save Your Life

Financial Engineering News (January/February 2007)

Municipalities should value tax-exempt liabilities using their taxable rates

When It’s Time to Get off the Tree

Financial Engineering News (November/December 2006)

Some Bonds Are Worth More Dead than Alive

Financial Engineering News (September/October 2006)

For an issuer, the choice between an institutional bond offering and a similar-maturity retail deal with an “estate put” presents special challenges.

The Volatility Reduction Measure

Derivatives Strategy (March 2001)

An Andrew Kalotay Associates innovation, the VRM pinpoints the degree to which a hedge offsets the volatility of a particular asset, liability or portfolio. Retrospective testing on historical data and prospective testing through Monte Carlo simulation can be combined into a single hedge effectiveness score by properly weighting the inputs into the VRM formula.

Subsidized Borrowing and The Discount Rate: The Case of Municipal Capital Budgeting and Financial Management

Municipal Finance Journal (Winter 1999)

Municipalities should value tax-exempt liabilities using their taxable rates

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