Bond Valuation and Structuring

The Right Discount Rate Can Save Your Life

Financial Engineering News (January/February 2007)

Municipalities should value tax-exempt liabilities using their taxable rates

When It’s Time to Get off the Tree

Financial Engineering News (November/December 2006)

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.

The Volatility Reduction Measure

Derivatives Strategy (March 2001)

An Andrew Kalotay Associates innovation, the VRM pinpoints the degree to which a hedge offsets the volatility of a particular asset, liability or portfolio. Retrospective testing on historical data and prospective testing through Monte Carlo simulation can be combined into a single hedge effectiveness score by properly weighting the inputs into the VRM formula.

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