Using Derivatives to Manage Equity Portfolios

LEVEL: INTERMEDIATE LEVEL

▪	Calculate the theoretical price of derivatives and compare their values
▪	Develop management strategies for the scenarios and constraints at hand
▪	Optimise execution
▪	Figure synthetic exposures and cash exposures into a report

▪	Arbitrage price of derivatives - Intermediate
▪	Tactical allocation in overlay - Intermediate
▪	Portfolio risk control - Intermediate
▪	Managing and regulatory reports - Intermediate

▪	Bird’s eye view of the chain of operations involved in a derivatives transaction
▪	Analysis and evaluation of derivative-based investment strategies
▪	Delivered by specialists who combine theoretical instruction and professional experience in order to reveal the cost-benefit relation behind each decision

▪	Equity managers
▪	Institutional investors
▪	Middle and back office personnel, reporting staff
▪	Client relationship managers
▪	Risk controllers
▪	Compliance, inspection
▪	Equity salespeople

Derivatives: description and valuation
▪	Typology: Futures, Swaps, Options
▪	Equilibrium forward price
▪	Black & Scholes: overview and limitations
▪	Other option pricing methods
▪	Variance swaps and volatility index contracts (VIX, VDAX, VSTOXX)
▪	Practical Workshop . Valuation of various derivatives
Hybrid Instruments
▪	Convertible bonds
▪	Mandatory convertibles
▪	Warrants
▪	ETF, index analysis
Management Strategies & Overlay
▪	Cash equitisation and hedging
▪	Controlling sector allocation and management style
▪	Portfolio insurance
▪	FX risk hedging
▪	Covered calls, covered puts
▪	Practical Workshop . Analyse opportunities for implementing various strategies
Value-at-Risk (VaR) Approaches
▪	Historical VaR
▪	Parametric VaR
▪	Monte Carlo VaR
▪	Limitations and alternatives
▪	Back-testing and stress tests
▪	VaR (relative and absolute) and commitment ratios
▪	Practical Workshop . VaR calculations and UCITS III application
Best Execution
▪	Trade engineering: choosing an instrument
▪	Stacks and strips: choosing a maturity
▪	Volatility smile: choosing a strike price
▪	Practical Workshop . Strategies for particular investment policies and perform cost-benefit analyses
Risk Control and Management Reports
▪	Reporting and regulatory ratios
▪	Total exposure to market risk (cash + synthetic)
▪	Exposure to currency risk
▪	Exposure to volatility
▪	Performance attribution
▪	Pockets and virtual cash allocation
▪	Processing options
▪	Practical Workshop . Analyse a portfolio including different derivatives and develop a risk and performance report