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This course explains the different types of structured product, their features, characteristics, risks and potential returns.
It explains how the pricing of these products are affected by the specific structure, and the derivative features which might be included. The course also explains how the return on an investment can be amplified by different structures, and how they can also be used to mitigate risk.
During this course, participants will practice pricing and valuing different structure products through a range of exercises.
Suitability
This course is for individuals with a working knowledge of fixed income, equity, credit and option markets.
Learning Outcomes
At the end of this course delegates should understand:
- The key characteristics of capital protected notes, reverse convertible notes and autocallables
- How to price structured notes and calculate coupons
- The mechanics of credit-linked notes
Course Content
- Basics of the structured products market
- Structured product cash flows
- Styles of structured products
- The role of the investment bank
- Capital protected note
- Characteristics and construction
- Capital protection on the effective date
- Calculating the option money
- Changing the note profile
Exercises: Pricing a capital protected note and calculating the participation rater
- Reverse Convertible Note (RC)
- Characteristics and pay-out profile
- Coupons and RC repayment
- RC investors and rationale
Exercises: Calculating the coupon on a reverse convertible and examining the risks associated with a reverse convertible trader
- Autocallable
- Characteristics and structure
- Pay-out profiler
- Credit-linked notes
- Medium Term Notes (MTN’s)
- Underlying security
- Structured swap participants
- Hedging the payoff
- Flooring and principal protected redemption
Why study with Alpha?
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