Our Solutions

ITO33 offers a range of products and services to the financial industry.

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 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.

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

Latest News

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Publications

Check out our latest publication

Technical Papers May 2020

IMPLIED PROBABILITY OF BAIL-IN

An immediate, fundamental change in thinking is required to take the panic out of the Contingent Convertible/AT1 Bond market, Philippe Henrotte tells Wilmott.

Fundamental Articles January 2022

GOD'S MODEL VS. MARKET MODELS PART III: MAN'S MODEL

We recognize in Black– Scholes–Merton the ‘model of a carpenter’, and we seek ways how truthfully to generalize it.

General Publications November 2017

OPSCORE WEB SERVICE

ITO33’s Opscore Web Service delivers easy, cutting-edge engagement with the convertible bonds market for non-specialists.