Structured Products for Asset Management

LEVEL: INTERMEDIATE LEVEL

▪	Value derivatives and analyse their sensitivity to market parameters
▪	Identify different types of structured products
▪	Break down structured products into their basic building blocks
▪	Know the general forms of pay-off found
▪	in structured products and find their break-even points

▪	Pricing major derivatives - Intermediate
▪	Basics of structuring - Intermediate
▪	Mechanisms and parameterisations of common structuring methods - Intermediate
▪	Particularities of various benchmark underlyings - Intermediate

▪	Extensive overview of structuring techniques
▪	Comparison: the benefits and drawbacks of various solutions associated with underlyings
▪	Be able to know if a structured product is well-adapted to a given investment strategy
▪	Current products to support the learning process

▪	Financial consultants
▪	Fund managers
▪	Client relationship managers
▪	Middle & back office personnel, reporting staff
▪	Compliance, risk management
▪	Institutional investors

Fundamentals
▪	Interest rate conventions
▪	Finding and using zero-coupon spot rates
▪	Present value computation using discount factors
▪	Exotic swaps: quanto, CMS
▪	Mechanisms and sensitivity of standard and exotic options
▪	Practical Workshop . Identify the optional elements in a structured product
Structured Products
▪	Deconstructing structured products into their basic building blocks
▪	Break-even sensitivity
▪	Parameters
▪	Comparison of pay-off vs. direct investment
▪	Case Study . Capital gains and/or income/premium purchase or sale
Structured Products on Interest Rate/FX
▪	Dual currency deposits
▪	Range accrual
▪	Reverse floaters
▪	Snowball ratchets, target redemption notes
Equity Structured Products
▪	Vanilla and exotic options
▪	Baskets and correlations
▪	Asset allocations
▪	Products with no guarantee
Structured Products on Hedge Funds
▪	Product attractiveness
▪	Specificities of hedge funds and funds of hedge funds
▪	Guaranteed products using options
▪	Guaranteed products using CPPI
▪	Guaranteed products using options on CPPI
▪	Comparison of different methods: advantages and disadvantages
▪	Products with no guarantees - advantages and disadvantages
Structured Products on Credit
▪	Specificity of credit as an underlying asset
▪	CDS
▪	CDO
Conclusion
▪	Recap: techniques used
▪	Product analysis chart
▪	Product selection methodology
▪	Synthesis . Define requirements and choose the most adequate structured product