Andrew Kalotay
Encyclopedia
Andrew Kalotay is a Hungarian
-born finance
professor
, Wall Street
quant
and chess master
. He is best known as an authority on fixed income
valuation
and institutional debt management
. He is currently the President of Andrew Kalotay Associates, and an adjunct professor at Polytechnic University, a branch of New York University
.
His innovations include the concept of refunding efficiency — a widely used tool for managing callable debt
, the ratchet bond — a surrogate for conventional callable bonds, and volatility reduction measure — for testing hedge
effectiveness. Kalotay has also made numerous contributions to the quantitative analysis of option-adjusted spread
(OAS), interest rate derivatives, and mortgage-backed securities (MBS); he is an author of the Kalotay–Williams–Fabozzi model. In 1997 he was inducted into the Fixed Income Analysts Society’s Hall of Fame.
Kalotay emigrated to Canada
following the 1956 Hungarian Revolution
. He graduated from Queen's University
in Kingston, Ontario
, with two degrees in mathematics
, earning his bachelor's degree
in 1964 and his master's degree
in 1966. He moved to the University of Toronto
, and completed his doctorate
in statistics
there in 1968. He then moved to the United 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 at Salomon Brothers
, and Senior Analyst at Dillon Read. Before coming to Wall Street, he supervised financial planning at AT&T
and was involved with operations research
and systems engineering at Bell Laboratories. He has been a Professor of Finance at Fordham University
, as well as an adjunct professor at the Wharton School of the University of Pennsylvania
and at Columbia University
.
His first major Canadian chess event was the 1958 Canadian Open Chess Championship
in Winnipeg
. He scored 5.5/11, for a chessmetrics.com performance rating of 2342, at the Canadian 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 the Canadian Chess Championship
, Winnipeg
1963, for a 2444 chessmetrics.com performance rating; the event had Canada's top 16 players. He represented Canada at the 1966 Chess Olympiad
in Havana
, scoring 4/10 (+2 =4 -4) on the first reserve board.
Ratings were not introduced into international chess until 1970, but chessmetrics
ranks historical performances from before that date, for comparison purposes, using similar algorithms. Kalotay's performances in the Canadian Championship and the Olympiad place him at near International Master strength, although he was not awarded an international title. Kalotay has not played competitive chess since the early 1990s, at which time he was still maintaining an American Master's rating; he has since been active in chess problem
composition, where he has also enjoyed success.
Hungary
Hungary , officially the Republic of Hungary , is a landlocked country in Central Europe. It is situated in the Carpathian Basin and is bordered by Slovakia to the north, Ukraine and Romania to the east, Serbia and Croatia to the south, Slovenia to the southwest and Austria to the west. The...
-born finance
Finance
"Finance" is often defined simply as the management of money or “funds” management Modern finance, however, is a family of business activity that includes the origination, marketing, and management of cash and money surrogates through a variety of capital accounts, instruments, and markets created...
professor
Professor
A professor is a scholarly teacher; the precise meaning of the term varies by country. Literally, professor derives from Latin as a "person who professes" being usually an expert in arts or sciences; a teacher of high rank...
, Wall Street
Wall Street
Wall Street refers to the financial district of New York City, named after and centered on the eight-block-long street running from Broadway to South Street on the East River in Lower Manhattan. Over time, the term has become a metonym for the financial markets of the United States as a whole, or...
quant
Quantitative analyst
A quantitative analyst is a person who works in finance using numerical or quantitative techniques. Similar work is done in most other modern industries, but the work is not always called quantitative analysis...
and chess master
Chess master
A chess master is a chess player of such skill that he/she can usually beat chess experts, who themselves typically prevail against most amateurs. Among chess players, the term is often abbreviated to master, the meaning being clear from context....
. He is best known as an authority on fixed income
Fixed income
Fixed income refers to any type of investment that is not equity, which obligates the borrower/issuer to make payments on a fixed schedule, even if the number of the payments may be variable....
valuation
Valuation (finance)
In finance, valuation is the process of estimating what something is worth. Items that are usually valued are a financial asset or liability. Valuations can be done on assets or on liabilities...
and institutional debt management
Debt
A debt is an obligation owed by one party to a second party, the creditor; usually this refers to assets granted by the creditor to the debtor, but the term can also be used metaphorically to cover moral obligations and other interactions not based on economic value.A debt is created when a...
. He is currently the President of Andrew Kalotay Associates, and an adjunct professor at Polytechnic University, a branch of New York University
New York University
New York University is a private, nonsectarian research university based in New York City. NYU's main campus is situated in the Greenwich Village section of Manhattan...
.
His innovations include the concept of refunding efficiency — a widely used tool for managing callable debt
Callable bond
A callable bond is a type of bond that allows the issuer of the bond to retain the privilege of redeeming the bond at some point before the bond reaches the date of maturity. In other words, on the call date, the issuer has the right, but not the obligation, to buy back the bonds from the bond...
, the ratchet bond — a surrogate for conventional callable bonds, and volatility reduction measure — for testing hedge
Hedge (finance)
A hedge is an investment position intended to offset potential losses that may be incurred by a companion investment.A hedge can be constructed from many types of financial instruments, including stocks, exchange-traded funds, insurance, forward contracts, swaps, options, many types of...
effectiveness. Kalotay has also made numerous contributions to the quantitative analysis of option-adjusted spread
Option-adjusted spread
Option adjusted spread is the flat spread which has to be added to the treasury yield curve in a pricing model to discount a security payment to match its market price. OAS is hence model dependent. This concept can be applied to a mortgage-backed security , option, bond and any other interest...
(OAS), interest rate derivatives, and mortgage-backed securities (MBS); he is an author of the Kalotay–Williams–Fabozzi model. In 1997 he was inducted into the Fixed Income Analysts Society’s Hall of Fame.
Kalotay emigrated to Canada
Canada
Canada is a North American country consisting of ten provinces and three territories. Located in the northern part of the continent, it extends from the Atlantic Ocean in the east to the Pacific Ocean in the west, and northward into the Arctic Ocean...
following the 1956 Hungarian Revolution
Hungarian Revolution
Hungarian Revolution may refer to:* The Hungarian Revolution of 1848.* The Hungarian Revolution of 1919, which led to the formation of the Hungarian Soviet Republic headed by Béla Kun.* The Hungarian Revolution of 1956....
. He graduated from Queen's University
Queen's University
Queen's University, , is a public research university located in Kingston, Ontario, Canada. Founded on 16 October 1841, the university pre-dates the founding of Canada by 26 years. Queen's holds more more than of land throughout Ontario as well as Herstmonceux Castle in East Sussex, England...
in Kingston, Ontario
Kingston, Ontario
Kingston, Ontario is a Canadian city located in Eastern Ontario where the St. Lawrence River flows out of Lake Ontario. Originally a First Nations settlement called "Katarowki," , growing European exploration in the 17th Century made it an important trading post...
, with two degrees in mathematics
Mathematics
Mathematics is the study of quantity, space, structure, and change. Mathematicians seek out patterns and formulate new conjectures. Mathematicians resolve the truth or falsity of conjectures by mathematical proofs, which are arguments sufficient to convince other mathematicians of their validity...
, earning his bachelor's degree
Bachelor's degree
A bachelor's degree is usually an academic degree awarded for an undergraduate course or major that generally lasts for three or four years, but can range anywhere from two to six years depending on the region of the world...
in 1964 and his master's degree
Master's degree
A master's is an academic degree granted to individuals who have undergone study demonstrating a mastery or high-order overview of a specific field of study or area of professional practice...
in 1966. He moved to the University of Toronto
University of Toronto
The University of Toronto is a public research university in Toronto, Ontario, Canada, situated on the grounds that surround Queen's Park. It was founded by royal charter in 1827 as King's College, the first institution of higher learning in Upper Canada...
, and completed his doctorate
Doctorate
A doctorate is an academic degree or professional degree that in most countries refers to a class of degrees which qualify the holder to teach in a specific field, A doctorate is an academic degree or professional degree that in most countries refers to a class of degrees which qualify the holder...
in statistics
Statistics
Statistics is the study of the collection, organization, analysis, and interpretation of data. It deals with all aspects of this, including the planning of data collection in terms of the design of surveys and experiments....
there in 1968. He then moved to the United States
United States
The United States of America is a federal constitutional republic comprising fifty states and a federal district...
, and has lived there since, to pursue his professional career.
Before founding Andrew Kalotay Associates, he was Director in the Bond Portfolio Analysis Group at Salomon Brothers
Salomon Brothers
Salomon Brothers was a bulge bracket, Wall Street investment bank. Founded in 1910 by three brothers along with a clerk named Ben Levy, it remained a partnership until the early 1980s, when it was acquired by the commodity trading firm Phibro Corporation and then became Salomon Inc. Eventually...
, and Senior Analyst at Dillon Read. Before coming to Wall Street, he supervised financial planning at AT&T
AT&T
AT&T Inc. is an American multinational telecommunications corporation headquartered in Whitacre Tower, Dallas, Texas, United States. It is the largest provider of mobile telephony and fixed telephony in the United States, and is also a provider of broadband and subscription television services...
and was involved with operations research
Operations research
Operations research is an interdisciplinary mathematical science that focuses on the effective use of technology by organizations...
and systems engineering at Bell Laboratories. He has been a Professor of Finance at Fordham University
Fordham University
Fordham University is a private, nonprofit, coeducational research university in the United States, with three campuses in and around New York City. It was founded by the Roman Catholic Diocese of New York in 1841 as St...
, as well as an adjunct professor at the Wharton School of the University of Pennsylvania
University of Pennsylvania
The University of Pennsylvania is a private, Ivy League university located in Philadelphia, Pennsylvania, United States. Penn is the fourth-oldest institution of higher education in the United States,Penn is the fourth-oldest using the founding dates claimed by each institution...
and at Columbia University
Columbia University
Columbia University in the City of New York is a private, Ivy League university in Manhattan, New York City. Columbia is the oldest institution of higher learning in the state of New York, the fifth oldest in the United States, and one of the country's nine Colonial Colleges founded before the...
.
His first major Canadian chess event was the 1958 Canadian Open Chess Championship
Canadian Open Chess Championship
The Canadian Open Chess Championship is Canada's Open chess championship, first held in 1956, and held annually since 1973, usually in mid-summer. It is organized by the Chess Federation of Canada....
in Winnipeg
Winnipeg
Winnipeg is the capital and largest city of Manitoba, Canada, and is the primary municipality of the Winnipeg Capital Region, with more than half of Manitoba's population. It is located near the longitudinal centre of North America, at the confluence of the Red and Assiniboine Rivers .The name...
. He scored 5.5/11, for a chessmetrics.com performance rating of 2342, at the Canadian Chess Championship
Canadian Chess Championship
This is the list of all the winners of the Canadian Chess Championship, often referred to as the Canadian Closed Championship to distinguish it from the annual Canadian Open tournament. The winner of the Canadian Closed advances to the next stage of the FIDE World Chess Championship cycle...
, Brockville, Ontario
Brockville, Ontario
Brockville is a city in Eastern Ontario, Canada, in the Thousand Islands region. Though it serves as the seat of the United Counties of Leeds and Grenville, Brockville is politically independent and is grouped with Leeds and Grenville for census purposes only.Known as the "City of the 1000...
1961. Kalotay represented Queen's in interuniversity chess competition, captaining the school's 1963 Canadian championship team. He finished with 8/15 in the Canadian Chess Championship
Canadian Chess Championship
This is the list of all the winners of the Canadian Chess Championship, often referred to as the Canadian Closed Championship to distinguish it from the annual Canadian Open tournament. The winner of the Canadian Closed advances to the next stage of the FIDE World Chess Championship cycle...
, Winnipeg
Winnipeg
Winnipeg is the capital and largest city of Manitoba, Canada, and is the primary municipality of the Winnipeg Capital Region, with more than half of Manitoba's population. It is located near the longitudinal centre of North America, at the confluence of the Red and Assiniboine Rivers .The name...
1963, for a 2444 chessmetrics.com performance rating; the event had Canada's top 16 players. He represented Canada at the 1966 Chess Olympiad
Chess Olympiad
The Chess Olympiad is a biennial chess tournament in which teams from all over the world compete against each other. The event is organised by FIDE, which selects the host nation.-Birth of the Olympiad:The first Olympiad was unofficial...
in Havana
Havana
Havana is the capital city, province, major port, and leading commercial centre of Cuba. The city proper has a population of 2.1 million inhabitants, and it spans a total of — making it the largest city in the Caribbean region, and the most populous...
, scoring 4/10 (+2 =4 -4) on the first reserve board.
Ratings were not introduced into international chess until 1970, but chessmetrics
Chessmetrics
Chessmetrics is a system for rating chess players devised by Jeff Sonas. It is intended as an improvement over the Elo rating system.-Implementation:...
ranks historical performances from before that date, for comparison purposes, using similar algorithms. Kalotay's performances in the Canadian Championship and the Olympiad place him at near International Master strength, although he was not awarded an international title. Kalotay has not played competitive chess since the early 1990s, at which time he was still maintaining an American Master's rating; he has since been active in chess problem
Chess problem
A chess problem, also called a chess composition, is a puzzle set by somebody using chess pieces on a chess board, that presents the solver with a particular task to be achieved. For instance, a position might be given with the instruction that White is to move first, and checkmate Black in two...
composition, where he has also enjoyed success.