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Interest Rate Risk Management of Municipal Bonds

Release on 2021-03-052021-03-05 by Andrew Kalotay
Interest Rate Risk Management of Municipal Bonds

Author: Andrew Kalotay

Publisher: Andrew Kalotay Associates

ISBN: 1736594702

Category:

Page: 186

View: 542

It is an oft-repeated mantra that "munis are different" and that standard analytical tools are irrelevant to managing them. Andrew Kalotay certainly agrees that munis are different. In fact, they are more complex than just about any other bond category. Munis are rich in options, their pricing is tax-dependent, the benchmark curves are comprised of callable bond yields ... and the list goes on. Dr. Kalotay argues that the complexities of munis actually mandate the use of modern fixed income analytics. He demonstrates the necessity for option-adjusted spread (OAS) technology, and exposes the potential pitfalls of risk management by "yield-to-worst." And he offers an in-depth discussion of the de minimis tax effect, which depresses the prices of discount munis. The breakthrough concept of tax-neutral OAS analysis accurately captures this effect. Without tax-neutral OAS, discount munis look deceptively cheap, and their durations are grossly underestimated. Risk managers should sit up and take notice.
Interest Rate Risk Management of Municipal Bonds
Language: en
Pages: 186

Interest Rate Risk Management of Municipal Bonds

Authors: Andrew Kalotay
Categories:
Type: BOOK - Published: 2021-03-05 - Publisher: Andrew Kalotay Associates

It is an oft-repeated mantra that "munis are different" and that standard analytical tools are irrelevant to managing them. Andrew Kalotay certainly agrees that munis are different. In fact, they are more complex than just about any other bond category. Munis are rich in options, their pricing is tax-dependent, the
Hedging Instruments and Risk Management
Language: en
Pages: 396

Hedging Instruments and Risk Management

Authors: Patrick Cusatis, Martin Thomas
Categories: Business & Economics
Type: BOOK - Published: 2005-02-22 - Publisher: McGraw Hill Professional

Books on complex hedging instruments are often more confusing than the instruments themselves. Hedging Instruments & Risk Management brings clarity to the topic, giving money managers the straightforward knowledge they need to employ hedging tools and techniques in four key markets—equity, currency, fixed income, and mortgage. Using real-world data and
Capital Markets, Fifth Edition
Language: en
Pages: 1088

Capital Markets, Fifth Edition

Authors: Frank J. Fabozzi
Categories: Business & Economics
Type: BOOK - Published: 2015-10-23 - Publisher: MIT Press

The substantially revised fifth edition of a textbook covering the wide range of instruments available in financial markets, with a new emphasis on risk management. Over the last fifty years, an extensive array of instruments for financing, investing, and controlling risk has become available in financial markets, with demand for
The Handbook of Municipal Bonds
Language: en
Pages: 1376

The Handbook of Municipal Bonds

Authors: Sylvan G. Feldstein, Frank J. Fabozzi
Categories: Business & Economics
Type: BOOK - Published: 2011-01-13 - Publisher: John Wiley & Sons

In The Handbook of Municipal Bonds, editors Sylvan Feldstein and Frank Fabozzi provide traders, bankers, and advisors—among other industry participants—with a well-rounded look at the industry of tax-exempt municipal bonds. Chapter by chapter, a diverse group of experienced contributors provide detailed explanations and a variety of relevant examples that illuminate
Handbook of Debt Management
Language: en
Pages: 984

Handbook of Debt Management

Authors: Gerald J. Miller
Categories: Political Science
Type: BOOK - Published: 2017-07-05 - Publisher: Routledge

Examining various methods of debt management used in the US., Handbook of Debt Management, provides a comprehensive analysis of securities offered for sale by municipalities, states, and the federal government. The book covers laws regarding municipal bonds, the economic choice between debt and taxes and the tax-exempt status of municipal

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