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. 

Mortgage-Backed Securities and Mortgages

Bond Valuation and Structuring

Debt Management

  • Calling and Refunding
  • Structured Transactions and Interest Rate Derivatives
  • Tax-Driven Transactions
  • Accounting and Regulatory Finance

Municipal Finance - For Academics

Municipal Finance - For Practitioners

Wealth Management

Consumer Finance

Innovations

 

 

Recent Research

A Pointer on Points

OR/MS Today (June 2007)

Should a homebuyer pay upfront points in return for a lower mortgage rate? A proper answer requires comparing each alternative’s “option adjusted APR” – a refinement of the standard mortgage rate that adds the value of the option to refinance if interest rates decline.

The True Cost of No-Cost Mortgages

Mortgage Risk (October 2007)

Misgauging the likely prepayment behavior of no-cost loans (whose closing costs are wrapped into a higher interest rate) could leave banks with assets they cannot securitize, or investors with securities worth less than they bargained for.

Some Bonds Are Worth More Dead than Alive

Financial Engineering News (September/October 2006)

For an issuer, the choice between an institutional bond offering and a similar-maturity retail deal with an “estate put” presents special challenges.

Is There a Financial Engineer in the House?

Financial Engineering News (April 2006)

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