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

Innovations

 

Recent Research

Defective Curves, Faulty Analysis

The Bond Buyer, April 20, 2016

Optimal Municipal Bond Portfolios For Dynamic Tax Management

Journal Of Investment Management, Vol. 14, No. 1, (2016), pp. 81-99

Tax-Efficient Trading of Municipal Bonds

Financial Analysts Journal Volume 72 · Number 1 ©2016 CFA Institute

Spread(ing) Confusion

The Bond Buyer, November 23, 2015

Many muni professionals shy away from option-adjusted spread (OAS) in favor of the archaic 'yield-to-worst' approach. Correct implementation would undoubtedly attract converts.

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