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

Yield shocks underestimate the interest rate risk of callable bonds

Bond Buyer

When thinking of interest rates in the taxable world, practitioners look at bellwether indicators such as the 10-year U.S. Treasury yield, and more broadly at the Treasury yield curve — a representation of the interest rates that investors demand across the maturity spectrum. The frequency of the U.S.

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Don't Let Your Tax-loss Harvest Become a Harvest of Regret

Bond Buyer January 30, 2018

Andy Kalotay's commentary in The Bond Buyer explains how NOT to harvest munis. Financial advisors lack the tools to calculate the benefit from selling, and they routinely recommend transactions that are actually wasteful. With rates set to move higher, many opportunities will present themselves; smart players will want to be prepared with the right tools.

Creating a Live Yield Curve in the Illiquid Muni Market

Journal of Fixed Income (Summer 2017)

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.

Research

MBS

Bond Valuation and Structuring

Debt Management

Municipal Finance

Trade Press

Wealth Management

Consumer Finance

Innovations