Solutions

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with robust solutions and reliable outputs

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Opscore

Opscore

The Convertible Bond Pricing Solution

The complete front-office solution for the pricing, hedging and analysis of convertible securities. It consists of four components: a data model of terms and conditions, a pricing engine, an analysis and simulation front-end and an excel screening tool.

CoCo33

CoCo33

Valuation and Risk Management Service

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.

Volatility Management

Volatility Management

The Equity Derivatives Pricing Expert

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