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. 


Bond Valuation and Structuring

Debt Management

Municipal Finance

Trade Press

Wealth Management

Consumer Finance



Recent Research

What’s Bad About Yield-to-Worst

Leverage World (August 15 2003)

While yield to worst gives a better indication of a callable bond’s relative value than either yield to maturity or yield to call, it is still unsatisfactory. Option-adjusted spread (OAS) is a superior approach.

Taking the Friction out of Saving Interest

BondWeek (July 14 2003)

The ratchet bond (an Andrew Kalotay Associates innovation) is a convenient, cost-effective surrogate for a callable bond, which achieves interest savings from declining interest rates without ongoing transaction cost.

Ginnie Mae and the Secondary Mortgage Market: An Integral Part of the American Economic Engine

Ginnie Mae (2003)

This monograph explains Ginnie Mae’s role in connecting global capital markets to the U.S. housing market, promoting affordable housing in America.

Insuring Callable Bonds: Selecting the Right Payment Plan

The Journal of Risk Finance (Spring 2003)

An option valuation framework lets callable bond issuers meaningfully compare the cost of bond insurance purchased through periodic payments over the bond’s life, versus paying a single up-front premium.

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