Portfolio Insurance: CPPI and Other Techniques

LEVEL: ADVANCED LEVEL

▪	Structure and parameterise a CPPI management strategy
▪	Structure and parameterise a CPPI option management strategy
▪	Structure and parameterise variants
▪	with dynamic floors
▪	Know the advantages and drawbacks to various solutions and be able to give recommendations

▪	Portfolio insurance and surplus management - Advanced
▪	CPPI, CPPI options, DPI - Advanced
▪	Guarantee cost - Advanced
▪	Credit-linked CPPI - Advanced

▪	Exhaustive analysis of protection techniques
▪	Presentation of the specific features and a wide variety of underlyings
▪	Description of associated risks
▪	Analysis of recently issued exotic structures

▪	Structurers
▪	Financial engineers
▪	Client relationship managers
▪	Fund managers
▪	Financial consultants
▪	Institutional investors

Investment management Under Minimum Performance Constraint
▪	Description of basic ,static and dynamic management strategies
▪	Analysis of constraints and objectives
▪	Strategy selecting the underlying
▪	Acceptable multiplier in relation to gap/liquidity risks
Mechanisms, Use and Monitoring of CPPI Management
▪	Management principles: Floor, Cushion, Multiplier
▪	Dynamic Management Rules
▪	Distribution of return
▪	Types of products
▪	Case Studies . Valuing the position at stage 1 . Dynamic simulations . Risk analysis and pricing of a guarantee
Options on CPPI Options
▪	Management principle and setting up the position
▪	Initial investment analysis
▪	Monitoring and management
▪	Option pricing
▪	Case Study . Recent examples . Analysis of price sensitivity to various parameters
Variants by Underlying
▪	Shares and baskets
▪	Interest rates, fixed/floating duration
▪	Credit
▪	Hedge funds
▪	Case Study . Credit-linked CPPI variants . Examples of hedge fund structures
Variants and Recent Developments in Dynamic Portfolio Insurance
▪	Dynamic floor
▪	Lookback, ratchet
▪	Coupons
▪	Case Study . Recently issued structures