Andrew Kalotay

Last updated

Andrew Kalotay (born 1941) 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, [1] and an adjunct professor at Polytechnic Institute of New York University. [2]

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 [3] — 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. [4] 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 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; the event had Canada's top 16 players. [5] He represented Canada at the 1966 Chess Olympiad in Havana, 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 in chess problem composition, where he has also enjoyed success. [7]

Related Research Articles

<span class="mw-page-title-main">Daniel Yanofsky</span> Canadian chess player

Daniel Abraham (Abe) Yanofsky was a Canadian chess player, chess arbiter, writer, lawyer, and politician. An eight-time Canadian chess champion, Yanofsky was Canada's first grandmaster and the first grandmaster of the British Commonwealth.

In finance, a bond option is an option to buy or sell a bond at a certain price on or before the option expiry date. These instruments are typically traded OTC.

<span class="mw-page-title-main">Pal Benko</span> Hungarian-American chess player (1928–2019)

Pal Charles Benko was a Hungarian and American chess player, author, and composer of endgame studies and chess problems.

<span class="mw-page-title-main">Petar Trifunović</span> Yugoslav chess grandmaster

Petar Trifunović was a Yugoslav and Serbian chess player, who was awarded the international grandmaster title, and was a five-time Yugoslav champion.

Zvonko Vranesic is a Croatian–Canadian International Master of chess, and an International Master of Correspondence Chess. He is an electrical engineer, a university professor, and a developer of computer chess software.

<span class="mw-page-title-main">Rogelio Antonio Jr.</span> Filipino chess player

Rogelio Antonio Jr. is a Filipino chess grandmaster, who was awarded the title in 1993. He is affectionately known as "Joey" Antonio or GM Joey. Antonio finished tied for 3rd-8th places in the 2009 Asian Chess Championship and became the first player in the Philippines' history to qualify for the World Cup later in 2009.

Lawrence Alexander Day is a Canadian chess player, author, and journalist who holds the FIDE title of International Master. He represented Canada at 13 Chess Olympiads.

<span class="mw-page-title-main">Peter Biyiasas</span> Canadian chess grandmaster (born 1950)

Peter Biyiasas is a Canadian chess grandmaster. He was Canadian champion in 1972 and 1975, represented Canada with success on four Olympiad teams, and played in two Interzonals. He moved to the United States in 1979, settling in California. He retired from competitive play in the mid-1980s to work as a computer programmer. During the late 1970s and early 1980s, he was a frequent training partner of Bobby Fischer, who stayed at his home in San Francisco for extended periods.

Deen Hergott is a Canadian International Master of Chess. By profession, he is a mathematician, computer programmer, and chess journalist.

Laszlo Witt was a Hungarian-Canadian International Master of chess.

Elod Macskasy was a Hungarian-Canadian chess master.

Julio Catalino Sadorra is a Filipino chess grandmaster. He competed in the FIDE World Cup in 2017 where he was seeded 101 and where he lost to the 28th-seeded Super GM Maxim Matlakov, 0.5-1.5. Sadorra has represented the Philippines at the Chess Olympiad since 2014. He tied for first place in the U.S. Open Chess Championship in 2013.

Melissa Greeff is a South African-Canadian chess Woman Grandmaster (WGM). She earned the WGM title in 2009.

Erwin Nievergelt was a Swiss chess player, mathematician and economist.

Andrew Joseph Muir is a Scottish chess International Master (IM) (1990), Scottish Chess Championship winner (2007), Chess Olympiad individual gold medal winner (1998), International Correspondence Chess Grandmaster.

Abraham Helman was a Canadian chess player.

Sürengiin Möömöö was a Mongolian linguist and chess player. He was born in 1930 in Khyargas, Uvs, and died on 7 July 2021 due to illness.

Irwin Lipnowski is a Canadian chess FIDE Master.

Kenneth Frey Beckman is a Mexican chess International Master and International Correspondence Chess Grandmaster (2004), five-times Mexican Chess Championship winner.

References

  1. ↑ kalotay.com
  2. ↑ poly.edu
  3. ↑ Andrew Kalotay (2001). The Volatility Reduction Measure, Derivatives Strategy
  4. ↑ Kalotay, Andrew J.; Williams, George O.; Fabozzi, Frank J. (1993). "A Model for Valuing Bonds and Embedded Options". Financial Analysts Journal. 49 (3). CFA Institute Publications: 35–46. doi:10.2469/faj.v49.n3.35.
  5. ↑ Chess Canada magazine, 'Spotlight on Kingston', February 2006.
  6. ↑ "Men's Chess Olympiads". www.olimpbase.org. Archived from the original on 2008-10-12.
  7. ↑ 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.
This page is based on this Wikipedia article
Text is available under the CC BY-SA 4.0 license; additional terms may apply.
Images, videos and audio are available under their respective licenses.