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, 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 and insurance companies. It relies on a powerful reduced form regime switching model with stochastic bail-in intensities and stochastic credit, jointly calibrated on the market quotes of the subordinated instruments of the issuer. It analyses the extension risk by assessing the propensity of an issuer to call a security early in a suboptimal way.
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
Keep up to date with ITO33 news and events.
ITO33 is glad to invite portfolio managers and risk analysts to a presentation of CoCo33, our pricing and risk management solution for regulatory capital securities issued by banks and insurance companies.
Date: April 4, 2024
Time: 4:30pm
Venue: Le Bristol, 112 rue du Faubourg Saint Honoré, Paris
Speakers: Philippe Henrotte, Co-Founder and partner of ITO33, Head of Research and Willy Lorange, Head of Quant Support Team.
Presentations finish at 18:30 and will be followed by drinks and canapes.
To attend, please submit your details by filling the Contact Us form.
We will be thrilled to welcome you on the 4th of April.
The ITO33 team
Most notably:
Opscore 3.9.6.0 delivers several new capabilities to end-users:
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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