Philippe Henrotte

ITO 33 SA is a French company that offers coco33, a pricing and risk management framework for regulatory capital securities issued by banks following the Basel III capital adequacy requirements. ITO 33 is based in Paris, FR. The framework relies on a powerful equity-to-credit regime switching reduced form model with stochastic bail-in intensities and stochastic credit to analyze AT1 CoCo bonds, perpetual non-cumulative preferred shares, and Tier 2 bonds issued by banks. The private company also offers a complete front-office solution for the pricing, hedging, and analysis of convertible securities, consisting of four components\: a data model of terms and conditions, a pricing engine, analysis and simulation front-end, and an Excel screening tool. Additionally, the company provides variance swaps, an equity derivative with a payoff of the realized variance of the underlying equity or index, and equity-to-credit, a new form of volatility arbitrage. The company was founded in 1999 by Elie Ayache, Philippe Henrotte, Serge Kouyoumjian, and Elie Ayache has been the CEO since 1999.