Structured Products

Market and major mechanisms of structured products
  • Structuring: Sell-side and Buy-side
  • Structuring desks: task and roles
  • Definition, mechanisms and construction of structured products
  • Structured EMTN key-players: motivations, constraints and main markets
  • EMTN vs structured swaps: pros and cons
  • Issuing vehicles: EMTN, CD, warrants
  • Structuring process: reverse enquiry, public offering / private placement
  • Notion of qualified investors
  • Impact of MiFID on structured products
Vanilla and exotic options
  • European, American and Bermudean options
  • Equity options: single stock vs baskets / indices; treatment of dividends
  • Option pricing: applying Black & Scholes to all markets
  • Black & Scholes variations: Garmann Kohlhagen / binomial trees / Monte Carlo
  • Exotic pay-offs: lookback, barriers, ladder, cliquet, basket
  • Practical workshop:
  • Implementation of various pricing methods in EXCEL™
Strategies
  • Risk mitigation strategies
  • Yield enhancement strategies
  • Volatility and correlation: dispersion strategies
  • Practical workshop:
  • Comparison of pay-offs
Equity structured products
  • Overview and specificities of equity structured products
  • Option packages: spreads, collars
  • Guaranteed capital (IR and vol effect), CPPI, …
  • Coupon products: reverse convertible, corridors, …
  • Tax products: dividend swaps, CFD, …
  • Volatility products / correlation / dispersion : variance swaps, …
  • Practical workshop
  • CPPI simulation
Interest rate structured products
  • Overview and specificities of interest rate structured products
  • Structuring exotic debt management products, exotic options in debt management
Structured products
  • Corridors, Reverse floater, Callable Fixed Rate
  • Main second-generation structured EMTN: callable range accrual, CMS spread, TARN, Ratchet
  • Practical workshop
  • Use structured products for corporate, money market asset managers, fixed-income asset managers, private banking, institutional investors
Other examples of structured products
  • Forex structured products
  • Commodities structured products
  • Overview of major credit structured products
  • Examples of hybrid structured products

  • Gain an overall knowledge of all structured products
  • Master the functions and pricing of standard options
  • Master the notions of historical and implicit volatility
  • Master the pay-off and risk factors of major exotic options
  • Analyse the term sheets for equity, interest rate, FOREX and commodities structured products
  • Master the construction and breakdown of structured products
  • Know hybrid structured products
  • Know regulatory developments affecting structured products (MiFID)
  • Implement institutional and corporate hedging strategies
  • Progressive approach of structured products and key players
  • Presentation of multi-asset structured products
  • Fundamentals of pricing using simulations
  • Impact of the financial crisis on the structured product market
  • Use of current term sheets
  • Detailed analysis of cash flows and opportunities of performance / associated risk

    • E-learning
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