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

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)

Mortgage Servicing Rights and Interest Rate Volatility

Mortgage Risk (May 2008)

Standard prepayment models produce faulty results when valuing mortgage servicing rights. More reliable conclusions are obtained from an option-based prepayment model that includes volatility of interest rates as an input.

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