Andrew Kalotay (born 1941) is a Hungarian-born

finance Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Admin ...

professor Professor (commonly abbreviated as Prof.) is an Academy, academic rank at university, universities and other tertiary education, post-secondary education and research institutions in most countries. Literally, ''professor'' derives from Latin ...

Wall Street Wall Street is a street in the Financial District, Manhattan, Financial District of Lower Manhattan in New York City. It runs eight city blocks between Broadway (Manhattan), Broadway in the west and South Street (Manhattan), South Str ...

quant and

chess master A chess title is a title regulated by a chess governing body and bestowed upon players based on their performance and rank. Such titles are usually granted for life. The international chess governing body FIDE grants several titles, the most pres ...

. He is best known as an authority on

fixed income Fixed income refers to any type of investment under which the borrower or issuer is obliged to make payments of a fixed amount on a fixed schedule. For example, the borrower may have to pay interest at a fixed rate once a year and repay the pr ...

valuation and institutional debt management. He is currently the President of Andrew Kalotay Associates, and an

adjunct professor An adjunct professor is a type of academic appointment in higher education who does not work at the establishment full-time. The terms of this appointment and the job security of the tenure vary in different parts of the world, but the term is gen ...

at Polytechnic Institute 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 the volatility reduction measure — for testing hedge effectiveness. Kalotay has also made numerous contributions to the quantitative analysis of

option-adjusted spread Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security's payments to match its market price, using a dynamic pricing model that accounts for embedded options. OAS is hence mode ...

(OAS),

interest rate derivative In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of dif ...

s, and

mortgage-backed securities A mortgage-backed security (MBS) is a type of asset-backed security (an "Financial instrument, instrument") which is secured by a mortgage loan, mortgage or collection of mortgages. The mortgages are aggregated and sold to a group of individuals ( ...

(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 is a country in North America. Its Provinces and territories of Canada, ten provinces and three territories extend from the Atlantic Ocean to the Pacific Ocean and northward into the Arctic Ocean, making it the world's List of coun ...

following the 1956 Hungarian Revolution. He graduated from Queen's University in

Kingston, Ontario Kingston is a city in Ontario, Canada, on the northeastern end of Lake Ontario. It is at the beginning of the St. Lawrence River and at the mouth of the Cataraqui River, the south end of the Rideau Canal. Kingston is near the Thousand Islands, ...

, with two degrees in

mathematics Mathematics is a field of study that discovers and organizes methods, Mathematical theory, theories and theorems that are developed and Mathematical proof, proved for the needs of empirical sciences and mathematics itself. There are many ar ...

, earning his

bachelor's degree A bachelor's degree (from Medieval Latin ''baccalaureus'') or baccalaureate (from Modern Latin ''baccalaureatus'') is an undergraduate degree awarded by colleges and universities upon completion of a course of study lasting three to six years ...

in 1964 and his

master's degree A master's degree (from Latin ) is a postgraduate academic degree awarded by universities or colleges upon completion of a course of study demonstrating mastery or a high-order overview of a specific field of study or area of professional prac ...

in 1966. He moved to the

University of Toronto The University of Toronto (UToronto or U of T) is a public university, public research university whose main campus is located on the grounds that surround Queen's Park (Toronto), Queen's Park in Toronto, Ontario, Canada. It was founded by ...

, and completed his

doctorate A doctorate (from Latin ''doctor'', meaning "teacher") or doctoral degree is a postgraduate academic degree awarded by universities and some other educational institutions, derived from the ancient formalism '' licentia docendi'' ("licence to teach ...

statistics Statistics (from German language, German: ', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of data. In applying statistics to a s ...

there in 1968. He then moved to the

United States The United States of America (USA), also known as the United States (U.S.) or America, is a country primarily located in North America. It is a federal republic of 50 U.S. state, states and a federal capital district, Washington, D.C. The 48 ...

, 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, Inc., was an American multinational bulge bracket investment bank headquartered in New York City. It was one of the five List of investment banks, largest investment banking enterprises in the United States and a very profitabl ...

, and Senior Analyst at Dillon Read. Before coming to Wall Street, he supervised financial planning at

AT&T AT&T Inc., an abbreviation for its predecessor's former name, the American Telephone and Telegraph Company, is an American multinational telecommunications holding company headquartered at Whitacre Tower in Downtown Dallas, Texas. It is the w ...

and was involved with

operations research Operations research () (U.S. Air Force Specialty Code: Operations Analysis), often shortened to the initialism OR, is a branch of applied mathematics that deals with the development and application of analytical methods to improve management and ...

and systems engineering at

Bell Laboratories Nokia Bell Labs, commonly referred to as ''Bell Labs'', is an American industrial research and development company owned by Finnish technology company Nokia. With headquarters located in Murray Hill, New Jersey, the company operates several lab ...

. He has been a professor of finance at

Fordham University Fordham University is a Private university, private Society of Jesus, Jesuit research university in New York City, United States. Established in 1841, it is named after the Fordham, Bronx, Fordham neighborhood of the Bronx in which its origina ...

, as well as an adjunct professor at the

Wharton School The Wharton School ( ) is the business school of the University of Pennsylvania, a private Ivy League research university in Philadelphia. Established in 1881 through a donation from Joseph Wharton, a co-founder of Bethlehem Steel, the Wharton ...

of the

University of Pennsylvania The University of Pennsylvania (Penn or UPenn) is a Private university, private Ivy League research university in Philadelphia, Pennsylvania, United States. One of nine colonial colleges, it was chartered in 1755 through the efforts of f ...

and at

Columbia University Columbia University in the City of New York, commonly referred to as Columbia University, is a Private university, private Ivy League research university in New York City. Established in 1754 as King's College on the grounds of Trinity Churc ...

. His first major Canadian chess event was the 1958

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. The event celebrated its 50th rendition in 2013. ...

Winnipeg Winnipeg () is the capital and largest city of the Provinces and territories of Canada, Canadian province of Manitoba. It is centred on the confluence of the Red River of the North, Red and Assiniboine River, Assiniboine rivers. , Winnipeg h ...

. He scored 5.5/11 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,

1963; the event had Canada's top 16 players. He represented Canada at the 1966

Chess Olympiad The Chess Olympiad is a biennial chess tournament in which teams representing nations of the world compete. FIDE organises the tournament and selects the host nation. Amidst the COVID-19 pandemic, FIDE held an Online Chess Olympiad in FIDE Onli ...

Havana Havana (; ) is the capital and largest city of Cuba. The heart of La Habana Province, Havana is the country's main port and commercial center.chess problem A chess problem, also called a chess composition, is a puzzle created by the composer using chess pieces on a chessboard, which presents the solver with a particular task. For instance, a position may be given with the instruction that White is t ...

composition, where he has also enjoyed success.The site www.chessbase.com has 44 Kalotay games; the site www.mychess.com has 39 Kalotay games; the site www.olimpbase.org has 10 Kalotay games; and the site www.chessgames.com has 2 Kalotay games; some of these games could be duplicated between sites.

References

External links

Andrew Kalotay AssociatesProfile on kalotay.comAndrew Kalotay at 365Chess.com
{{DEFAULTSORT:Kalotay, Andrew Hungarian statisticians Canadian chess players American chess players 1941 births Living people Queen's University at Kingston alumni University of Toronto alumni Scientists from New York City 20th-century American mathematicians 20th-century Hungarian mathematicians 21st-century American mathematicians 21st-century Hungarian mathematicians New York University faculty Financial economists Polytechnic Institute of New York University faculty Mathematicians from New York (state)