Structured Products Program

This five-day program provides the concepts and theories and risks and regulations of the different asset types and market sectors along with a hands-on modeling session on structured credit product modeling.

09-Sep-2013 -- 13-Sep-2013New YorkUSD$4875
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Various Instructors; ] Mon Tue Wed Thu Fri Level: Intermediate

CPE CREDITS
36.0
Sales staff, traders, financial analysts, securitization market practitioners, portfolio risk managers, corporate financiers, treasurers, credit risk managers and anyone who must value, evaluate or analyze CDOs.
No advance preparation required.
Students will be able to:
  • Demonstrate a practical understanding of the core concepts behind structured products
  • Develop an understanding for the range of asset classes that are linked to structured products
  • Understand the current and future path of the structured product market
  • Value a credit default swap using an equity-based and reduced form model
  • Estimate term structures of risk-adjusted default probabilities
  • Measure risk sensitivities of single-name credit derivatives
  • Develop a solid understanding of portfolio credit analytics such as the Gaussian Copula model
Prerequisites for Overview of Structured Products - Basic understanding of financial market asset classes; Prerequisites for Structured Credit Modeling - Some knowledge of derivatives theory would be an advantage
"Gives a general view, an introductory review of the structured product market."
"For a beginner in this area, it effectively introduced me to most of what to see in practice."
"I have tremendously enjoyed this program and look forward to coming back."
Day 1 & 2
What are structured products?
  • Identify mechanics of Structured Products
  • Describe origins of interest in structured products

Issuers' and investors' appetite for structured products

  • Identify why issuers create structured products
  • Evaluate investor interest in structured products

Structured Products

  • Identify underlying assets used for SPV's
  • Define special purpose vehicle
  • Identify mechanics of popular structured products using
  • - Fixed Income
  • - Foreign exchange
  • - Equity
  • - Credit
  • - Commodity
  • - Hybrid products

Future for structured products

  • Debate trends in investment banking
  • Evaluate role of hedge funds
  • Analyze up and coming role of emerging market players

Day 3
Structural credit risk models

    Reduced form models

      Credit default swaps and corporate bonds

        Trading strategies

Day 4
CDA structures and tranches

    Basics of default dependence

      Simulating correlated defaults

        The Gaussian Copula

Day 5
CDA valuation

    Implied correlations, base correlations, term structure effects

      CDO risk measures

        Beyond the Gaussian Copula

          Recent product innovations

Clients who register for this course will receive a complimentary 4-month subscription to FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. The move to the electronic version follows an ongoing review of our environmental responsibilities as a global business and as part of the Pearson group. FT.com also has features that are not available in hard copy, such as: Special Reports, Alphaville, editor blogs, education sections and much more! Subscriptions will start within 6-8 weeks of the start of class and are limited to one subscription per client. (Please note: as of May 1, 2011, the electronic subscription replaces the hard-copy 3-month Financial Times subscription.)

Lunch is included for all students taking day classes.