PROVEN EXPERTISE TO WEATHER FINANCIAL VOLATILITY
ACCURATE PRICING MODELS DRIVE INSIGHTFUL DECISION-MAKING
FAST SUPERIOR NUMERICS ACHIEVE BEST-IN-CLASS PERFORMANCE
UNPARALLELED, WORLD-CLASS CUSTOMER SUPPORT AND SERVICE
STATE OF THE ART APIS ALLOW EASY SYSTEM INTEGRATION
ITO33 offers a range of products and services to the financial industry.
The complete front-office solution for the pricing, the hedging and the analysis of convertible securities. It consists of four components: a data model of terms and conditions, a pricing engine, analysis and simulation front-end and an excel screening tool.
CoCo33 is a pricing and risk management framework for regulatory capital securities issued by banks following the Basel III capital adequacy requirements. It relies on a powerful equity-to-credit regime switching reduced form model with stochastic bail-in intensities and stochastic credit to analyse AT1 CoCo bonds, perpetual non-cumulative preferred shares and Tier 2 bonds issued by banks.
The variance swap is an equity derivative with payoff the realized variance of the underlying equity or index. Equity-to-Credit is the new form of volatility arbitrage. Credit risk (through the probability of the underlying equity jumping to zero) adds a component to option premium that cannot be financed by the usual rebalancing of the delta hedge issuing from the Black-Scholes-Merton model
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Opscore 3.9.6.0 delivers several new capabilities to end-users:
CoCo33 Data Service delivers to risk managers consistent pricing and risk data on Regulatory Capital Securities issued by Banks and Insurance companies.
ITO33 is Sponsor of Quant Insights conference: THE CASE OF BANK REGULATORY CAPITAL SECURITIES
27th-28th October 2021, Globally Live-Online
Check out our latest publication
An immediate, fundamental change in thinking is required to take the panic out of the Contingent Convertible/AT1 Bond market, Philippe Henrotte tells Wilmott.
We recognize in Black– Scholes–Merton the ‘model of a carpenter’, and we seek ways how truthfully to generalize it.
ITO33’s Opscore Web Service delivers easy, cutting-edge engagement with the convertible bonds market for non-specialists.
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