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Structured Products - PC Workshop

Duration: 2 days
  • Financial Engineering Toolkit
  • Structured Notes and Bonds
  • Credit-Linked Structures
  • Equity-Linked Structures
  • Commodity and Currency Linked Structures
  • Advanced and Exotic Structures
  • Hybrid Products
The objective of this workshop is to give you hands-on experience in constructing and analyzing a wide range of structured products. We assume that you have already obtained a good understanding of the products characteristics, mechanics and uses, e.g. from participating in our seminar “Structured Products – Instruments and Mechanics”.

We start with a review of the “Financial Engineering Toolkit”: Yield curves, discount factors, volatility curves, option pricing models, simulation techniques etc.

The remaining part of the workshop is structured into three hands-on sessions. At the beginning of each of these sessions, you will be presented with a “client case” with a specification of a client’s investment (or financing) objectives and constraints. You will then be assigned with the task of “engineering” (i.e. designing and testing) one or more products that meet “your” client’s needs.

In session one, you will construct reverse floaters, capped floaters, bear notes, constant maturity floaters, targeted redemption notes and/or other types structured notes and bonds.

In session two the task will be to create credit-linked notes, synthetic CDO’s and other types of credit-linked products.

In session three, we work with principal guaranteed notes, discount certificates, currency-linked notes, bull certificates, bonus certificates, cliquet and ratchet structures and/or other “exotic” and hybrid structures.

At the end of each session we will review and discuss some of the best solutions in plenum. Specifically, we will verify that the products actually are compliant with clients’ needs and constraints. We will also discuss possible tax and accounting consequences of your proposed solutions.

The workshop will be highly practical, offering you a unique opportunity to work in-depth with the design of structured products.

You will have your own PC available during the entire workshop. You will, of course, receive a copy of all of your files and of the instructor’s master files at the end of the workshop.

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Review of Financial Engineering Toolkit

  • Yield Curves and Discount Factors
  • Volatility Curves
  • Option Pricing Formulas and Simulation Techniques

Session 1: Structured Notes and Bonds

  • Presentation of Client Case
  • Construction of Solutions
    • Capped/floored Floater
    • Leveraged-Capped Floater
    • Multi-Callable Capped Floater
  • Review of Solutions

12.00 - 13.00 Lunch

13.00 - 16.30 Session 1 (Continued)

  • Construction of Solutions
    • Reverse Floaters
    • Bear Notes
    • CMS-Linked Notes
    • Arrears Reset Notes
    • Range Floaters/”Fairway Bonds”
    • Superfloaters
    • Callable Snowball Notes
    • Targeted Redemption Notes
  • Review of Solutions

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 Session 2: Credit-Linked Structures

  • Presentation of Client Case
  • Construction of Solutions
    • Credit Linked Notes
    • Leveraged Credit Linked Notes
    • Asset-Backed Structures
    • Arbitrage CBO’s
    • Synthetic CDO’s
    • Single-tranche CDO’s
    • CDO-Squared
  • Review of Solutions

12.00 - 13.00 Lunch

13.00 - 16.00 Session 3: Equity-Linked Structures

  • Presentation of Client Case
  • Construction of Solutions
    • Principal-Protected Equity Linked Notes
    • Leveraged Upside Structures
    • Equity ‘Out-performance’ Bonds
    • Discount Certificates
    • Equity Reverse Convertibles
    • Clique, Ratchet and other “Exotic” Structures
  • Review of Solutions

Evaluation and Termination of the Workshop