Structured Products - PC 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

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