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.

Recent Research

Municipal Bond Insurance: Identifying the Best Payment Plan

The Journal of Risk Finance Vol. 18 No. 1, 2017

The volume of municipal bond insurance declined dramatically following the financial crisis of 2008. Insurance now is making a gradual comeback. Two related considerations complicate identification of the best insurance plan. One is the current practice in the municipal market of issuing callable bonds with an above-market coupon; such bonds are very likely to be refunded. The other is that the cost of insurance may depend on when the bonds are refunded. This paper shows how contemporary fixed income analytics can be applied to identifying the best payment plan.

Don’t Waste a Free Lunch: Managing the Advance Refunding Option

Journal of Applied Corporate Finance

After-Tax Portfolio Value: The Missing Tax Option

Journal Of Investment Management, Vol. 14, No. 4, (2016), pp. 1–10

After-tax performance measurement requires a rigorous definition of after-tax portfolio value, which is also a prerequisite for effective portfolio management.

Making Bond Insurance Pay

The Bond Buyer, June 30, 2016

Optional redemption features are standard in municipal bond issues, so even a seemingly simple decision — selecting the best insurance plan — requires modern option-based analytics

Research

MBS

Bond Valuation and Structuring

Debt Management

Municipal Finance

Trade Press

Wealth Management

Consumer Finance

Innovations