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

Muni Buyers: Beware of Tax-Deficient Analytics!

The Bond Buyer. June 18, 2015

Bonds trading near or below par are much more sensitive to interest rates than reported by standard analytics systems. What happens to muni prices when rates rise? 

Making Sense of the Make-Whole Call, From its Origins to BABs

The Bond Buyer (July 26, 2010)

Why investors don’t charge for make-whole calls

Why Buy-and-Hold Is Dead

The Bond Buyer, February 24, 2015

The Pros and Cons of Premium Bonds

National Assoc. of Municipal Advisors, February 2015

Syndicate content