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 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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