Dates
9th – 12th July, 2012
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 underlyings and of risk/return profiles. Also, on which are the pricing and risk issues to consider 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, on how to break down structured products into their base building blocks and price them in the current financial markets.
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
Financial Markets Laboratory
Faculty
- Barbara Bartolini: Portfolio Manager. Treasury Department, European Investment Bank.
- Giuseppe Corvino: Associate Professor of Financial Markets and Intermediaries, Università Bocconi.
SDA Professor of Banking and Insurance.
- Francesco Cuccovillo: SDA Professor of Banking and Insurance. Head of Credit and ABS Structuring (Europe, Middle East and Africa) Nomura, London.
- 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.
- 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 were theoretical classes are followed by computer-based simulation where participants will 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 send to all the participants.
