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

Is There a Financial Engineer in the House?

Financial Engineering News (April 2006)

A Framework for Corporate Treasury Performance Measurement

Journal of Applied Corporate Finance (Winter 2005)

The innovative method detailed in this paper allows for meaningful periodic reporting of a debt manager’s performance relative to a custom benchmark portfolio.

An Option-Theoretic Prepayment Model for Mortgages and Mortgage-Backed Securities

International Journal of Theoretical and Applied Finance (December 2004)

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.

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