Short Course Structured Products: Risks, Rewards, Valuation

SDA Bocconi School of Management

Application deadline: 3rd June 2014
Tuition fee:
  • € 3,000 / Year (EEA)
  • € 3,000 / Year (Non-EEA)
Start date: June  2015
Duration full-time: 4 days
Languages:
  • English
Location:
Disciplines:
Delivery mode: On Campus
Educational variant: Full-time

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Description

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Value Drivers

Structured products are one of the fastest growing segments in the financial markets. This program focuses on how structured products can be used by investors to access a large variety of underlying and risk/return profiles. Also, the pricing and risk issues that must be considered when investing and trading structured products. At the end of the program, participants will have a broad overview of the rationale underlying the use of structured products, how to break down structured products into their base building blocks and price them in the current financial markets.

Contents

Contents

The program will first describe the different classes of structured products. We will analyse how structured products can be used to reach capital protection and to take full advantages of the great diversification opportunities in terms of underlying assets and payoff structures. Then the attention will be concentrated on the pricing and risk management issues of structured products. We will review equity, interest rates and credit pricing models and participants will try to build and price their own structured product.
Structuring products and understanding their building blocks

* Structured products overview
* Equity structured products
* Interest rates structured products
* Credit structured products
* Certificates
* Capital protected funds

Pricing derivatives and structured products: pricing methodologies laboratory

* From Black and Scholes to Monte Carlo Simulation
* Libor market model and other interest rate pricing models
* Computer-based sessions

Sensitivity and risk management analysis

* Risk measures for structured products
* VAR for structured products

Understanding the benefits and the draw backs of investing in structured products

* Capital protection
* Asset Diversification
* Payoff Diversification
* Costs and liquidity of structured products

Pricing derivatives

* Credit value adjustment
* Funding value adjustment
* An application with Numerix libraries

Financial Markets Laboratory

Learning Model

The initiative is based on hands-on approach where theoretical classes are followed by computer-based simulation allowing participants to learn how to construct and price structured products.

Audience

* Financial Consultants
* Fund Managers
* Client Relationship Managers
* Middle & Back Office personnel, reporting staff
* Compliance Officers
* Institutional investors
* Risk Managers
* Quantitative Analysts

Participants are asked basic Microsoft knowledge. No prior knowledge of programming or pricing models is required.

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Accreditation

The program will be mainly based on the instructors notes. A list of references will be sent to all the participants.

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