Andrew Kalotay

The standard measure of interest rate risk is effective duration; it is the critical input to portfolio-based hedging.

The availability of new analytics that correctly capture the downside risk materially raises the bar on discount-bond disclosure.

Practitioners want to know what happens to the value of their portfolios if interest rates change.

Municipal bonds present fertile ground for investment professionals interested in reaping risk-free returns by sheltering gains with well-timed losses. But watch out. The financial literature is filled with misleading information that can send investors down the wrong path

Instead of obsessing over negative arbitrage, use refunding efficiency as your signal to transact.