Andrew Kalotay

Andrew Kalotay (born Hungary 1940) is a Hungarian-born Wall Street quant and chess master, an American statistician and mathematician. He is best known as an authority on fixed income valuation and institutional debt management. His inventions 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 currently the President of Andrew Kalotay Associates, and an adjunct professor at Polytechnic University, a branch of New York University.

Kalotay emigrated to Canada following the 1956 Hungarian Revolution. 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. 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. 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. ["Chess Canada" magazine, 'Spotlight on Kingston', February 2006.] He represented Canada at the 1966 Chess Olympiad in Havana, scoring 4/10 (+2 =4 -4) on the first reserve board. [http://www.olimpbase.org/players/60u0i8uf.html.]

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 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. 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. 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

* [http://www.kalotay.com/ Andrew Kalotay Associates]