STRUCTURED PRODUCTS: RISKS, REWARDS, VALUATION

SDA Bocconi School of Management is registered with CFA Institute as an Approved Provider of continuing education programs for CFA Institute members. This program qualifies for 28 CE credit hours. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE tracking tool. CFA Institute members receive 10% off the program fee.


Dates

20-23 June, 2016


Value Drivers 

Structured products are one of the fastest growing segments in the financial markets. This program focuses on how structured products can be used by investors to access a large variety of underlying and risk/return profiles. Also, the pricing and risk issues that must be considered when investing and trading structured products. At the end of the program, participants will have a broad overview of the rationale underlying the use of structured products, how to break down structured products into their base building blocks and price them in the current financial markets.

What participants think about this program

 

Participants

  • Financial Consultants

  • Fund Managers

  • Client Relationship Managers

  • Middle & Back Office personnel, reporting staff

  • Compliance Officers

  • Institutional investors

  • Risk Managers

  • Quantitative Analysts

Participants are asked basic Microsoft knowledge. No prior knowledge of programming or pricing models is required.


Contents 

The program will first describe the different classes of structured products. We will analyse how structured products can be used to reach capital protection and to take full advantages of the great diversification opportunities in terms of underlying assets and payoff structures. Then the attention will be concentrated on the pricing and risk management issues of structured products. We will review equity, interest rates and credit pricing models and participants will try to build and price their own structured product.

Structuring products and understanding their building blocks

  • Structured products overview
  • Equity structured products
  • Interest rates structured products
  • Credit structured products
  • Certificates
  • Capital protected funds

Pricing derivatives and structured products: pricing methodologies laboratory

  • From Black and Scholes to Monte Carlo Simulation
  • Libor market model and other interest rate pricing models
  • Computer-based sessions

Sensitivity and risk management analysis

  • Risk measures for structured products
  • VAR for structured products

Understanding the benefits and the draw backs of investing in structured products

  • Capital protection
  • Asset Diversification
  • Payoff Diversification
  • Costs and liquidity of structured products

Pricing derivatives

  • Credit value adjustment
  • Funding value adjustment
  • An application with Numerix libraries

Financial Markets Laboratory


Faculty 

Fabrizio Fiocchi: Head of Product Management, Epsilon SGR.
Giampaolo Gabbi: Full Professor of Financial Investments and Risk Management, University of Siena. SDA Professor of Banking and Insurance. Visiting Professor of “Financial Regulation” at City University   London. 
Alonso Pena: SDA Professor of Banking and Insurance. Ph.D. (Applied Mathematics) 1992-1997 - University of Cambridge CQF (Certificate in Quantitative Finance) Jun-Dec 2004 - Paul Wilmott & 7city. 
Federico Pippo: SDA Professor of Accounting, Control, Corporate and Real Estate Finance.
Rolando Santambrogio: Global Head of Rates Quants at Unicredit Bank AG - Corporate & Investment Banking.
Giovanna Zanotti: Associate Professor of Financial Markets and Institutions, Università di Bergamo. SDA Professor of Banking and Insurance. Visiting Professor at Calgary University and Simon Fraser University. 


Learning Model 

The initiative is based on hands-on approach where theoretical classes are followed by computer-based simulation allowing participants to learn how to construct and price structured products.

 


Reference Material 

The program will be mainly based on the instructors notes. A list of references will be sent to all the participants.


Enrollment procedure 

Please complete the enrollment request form, available on this web page, and mail or fax to:
SDA Bocconi School of Management
fax +39 02 5836.6833
email: cristiana.testa@sdabocconi.it

The final deadline for enrollment is 31 May 2016.
Enrollment requests are reviewed on a rolling basis, those received after the final deadline may not be accepted.
Please see details in the enrollment form. 


Participation fee 

€ 3.100 + VAT (if required) 


Special Payment Terms 

  • A 10% reduction on the program fee is offered to applications sent in by 21 April 2016.
  • CFA Institute members receive 10% off the program fee. 

These offers are not cumulative.

See all Special Payment Terms

Brochure structured