Andrew Kalotay (born 1941) is aHungarian-bornfinanceprofessor,Wall Streetquant andchess master. He is best known as an authority onfixed incomevaluation andinstitutional debt management. He is currently the President of Andrew Kalotay Associates,[1] and anadjunct professor atPolytechnic Institute of New York University.[2]
His innovations include the concept of refunding efficiency — a widely used tool for managingcallable debt, the ratchet bond — a surrogate for conventional callable bonds, and the volatility reduction measure[3] — for testinghedge effectiveness. Kalotay has also made numerous contributions to the quantitative analysis ofoption-adjusted spread (OAS),interest rate derivatives, andmortgage-backed securities (MBS); he is an author of theKalotay–Williams–Fabozzi model.[4] In 1997, he was inducted into the Fixed Income Analysts Society's Hall of Fame.
Kalotay emigrated toCanada following the 1956Hungarian Revolution. He graduated fromQueen's University inKingston, Ontario, with two degrees inmathematics, earning hisbachelor's degree in 1964 and hismaster's degree in 1966. He moved to theUniversity of Toronto, and completed hisdoctorate instatistics there in 1968. He then moved to theUnited States, and has lived there since, to pursue his professional career.
Before founding Andrew Kalotay Associates, he was Director in the Bond Portfolio Analysis Group atSalomon Brothers, and Senior Analyst atDillon Read. Before coming to Wall Street, he supervised financial planning atAT&T and was involved withoperations research and systems engineering atBell Laboratories. He has been a professor of finance atFordham University, as well as an adjunct professor at theWharton School of theUniversity of Pennsylvania and atColumbia University.
His first major Canadian chess event was the 1958Canadian Open Chess Championship inWinnipeg. He scored 5.5/11 at theCanadian Chess Championship,Brockville, Ontario 1961. Kalotay represented Queen's in interuniversity chess competition, captaining the school's 1963 Canadian championship team. He finished with 8/15 in theCanadian Chess Championship,Winnipeg 1963; the event had Canada's top 16 players.[5] He represented Canada at the 1966Chess Olympiad inHavana, scoring 4/10 (+2 =4 -4) on the first reserve board.[6]
Kalotay has not played competitive chess since the early 1990s; he has since been active inchess problem composition, where he has also enjoyed success.[7]
