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. 

MBS

Bond Valuation and Structuring

Debt Management

Municipal Finance

Trade Press

Wealth Management

Consumer Finance

Innovations

 

Recent Research

Interest Rate Risk Management of Municipal Bonds

By Andrew Kalotay with foreword by Stephen Winterstein

"This work is the culmination of Dr. Kalotay's intellectual pursuit of what works and what should be reexamined in the municipal bond market. No shrinking violet, he challenges the orthodoxy and examines its problems from fresh and distinctive angles. The reader will find his contribution an unparalleled resource."

Stephen Winterstein, Head of Municipal Fixed Income, MarketAxess Holdings Inc.

Available now on Amazon.

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Par Munis — Sub-Par Performance

By Andy Kalotay and Guy Davidson, January 2021

Managing Duration Extension and Negative Convexity Near Par

The Bond Buyer - October 20, 2020

Negative Convexity

Tax-neutral analytics are key to accurately measuring interest rate sensitivity of munis near par.

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You haven't heard of ratchet bonds?

The Bond Buyer - June 8, 2020

Ratchet bonds are the best debt structure for issuers that you probably never heard of. TVA issued over $1 billion of these in the late 1990s and is still reaping the savings. Read more in Andy Kalotay's Bond Buyer commentary.

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