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FINANCIAL MARKET COURSES

Structured Products - Valuation & Risks

This course examines in more detail some of the key risks encountered by investors in structured products, and how the value of these products will vary as market parameters change. There is also an analysis of (constant proportion portfolio insurance (CPPI) and its use as an alternative to ‘classical’ principal-protected structures.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Explain the issues involved in establishing both the values for structured products and in calculating the sensitivities of those values to changes over time

    Distinguish between 'theoretical' valuation and a trading price

    Outline the constant proportion portfolio insurance (CPPI) dynamic approach to structured product construction

  • COURSE OUTLINE

    Topic 1: Risk Fundamentals

    Overview

    o Path-Dependent

    • Early Unwinds – The Credit Problem

    o Option Risks

    • Long or Short Options?

    • Calculating an Option Value

    Greeks Revisited

    o Delta

    o Gamma

    o Vega

    o The Complexity of Risk Sensitivities

    Topic 2: Exotic Risks & Modelling Issues

    Exotic Problems

    Multi-Asset Structures

    Different Distributions

    Generating a Valuation

    The Need for a Price

    Topic 3: Constant Proportion Portfolio Insurance (CPPI)

    CPPI Overview

    ‘Cashing Out’ & ‘Gap Risk’

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    75 Minutes

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