He was inducted into the Fixed Income Analysts Society’s Hall of Fame (this select group includes Fischer Black, Henry Kaufman, John Bogle, Martin Leibowitz, and William Gross) in 1997 for his innovations in Refunding Efficiency for hedge effectiveness testing under FAS 133 – a widely used tool for managing callable debt – and has also made numerous contributions to the quantitative analysis of option-adjusted spread, interest rate derivatives, and mortgage-backed securities. and also is a charter member of the Risk “Who’s Who.” He is an author of the Kalotay-Williams–Fabozzi model.
Andrew emigrated to Brockville following the1956 Hungarian Revolution. He graduated from Queen’s University with two degrees in mathematics, earning his bachelor’s degree in 1964 and his master’s degree in 1966 and from the University of Toronto with a doctorate in statistics in 1968. He then moved to New York City to pursue his professional career and has lived there since.
Before coming to Wall Street, Andrew supervised financial planning at AT&T and was involved with operations research and systems engineering at Bell Laboratories. Before founding Andrew Kalotay Associates he was a Senior Analyst at Dillon Read from 1979 to 1981 and then Director in the Bond Portfolio Analysis Group at Salomon Brothers from 1981 until 1990. 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.
Andrew’s first major Canadian chess event was the 1958 Canadian Open Chess Championship in Winnipeg. He scored 5.5/11 at the Canadian Chess Championship in Brockville in 1961. Andrew represented Queen’s in inter-university chess competition, captaining the school’s 1963 Canadian championship team. He finished with 8/15 in the Canadian Chess Championship in Winnipeg in 1963 which was limited to Canada’s top 16 players and represented Canada at the 1966 Chess Olympiad in Havana, scoring 4/10 (+2 =4 -4) on the first reserve board.
Andrew has not played competitive chess since the early 1990s but has since been active in chess problem composition, where he has also enjoyed success.