Hybrid Structured Products: Structuring and Main Uses

LEVEL: INTERMEDIATE LEVEL

▪	Master the hybrid structuring process
▪	Understand the relationship between various asset classes
▪	Understand the structure and uses of major structured products on various asset classes

▪	Hybrid structured product market - Intermediate
▪	Modelling volatilities - Advanced
▪	Equity Skew vs. Index Skew - Advanced
▪	Key types of hybrid structures - Advanced
▪	Collateralised Foreign Exchange Obligation - Advanced
▪	Convertible volatility vs. vanilla option volatility - Advanced

▪	A simple approach to complex products

▪	Asset managers
▪	Equity derivatives traders
▪	Hybrid traders
▪	Risk managers
▪	Middle office staff/audit/internal controls
▪	Institutional investors

Hybrid Structured Product Markets
▪	Comparison with other structured product markets: market share and growth
▪	The goals of investors & of issuers
▪	Structuring process: reverse inquiry, public offering/private investment
▪	Study of options arising in the construction of structured products
Equity + Credit Structured Products
▪	Modelling volatilities
▪	Classic equity modelling
▪	Variance swap market
▪	Cash equity structures vs. CDS
▪	Equity skew and index skew
▪	Volatility arbitrage: convertibles vs. vanilla options
▪	Equity Default Swap and CDS structures
▪	Equity-Credit hybrid obligations
▪	Model of the firm and its variants
Equity + Interest Rate Structured Products
▪	Super subordinated notes
▪	Diversity and flexibility of finance sources
▪	Interest rate/equity hybrid options
▪	Interest rate/equity correlation
▪	Pricing a basket
FX + Credit Structured Products
▪	CFXO: Collateralised Foreign Exchange Obligations
▪	Similarities between CFXOs and CDOs
▪	Calculating FX option premiums
▪	Redistribution of distinct seniority tranches