Structured Products: Risks, Rewards, Valuation

SDA Bocconi School of Management
A Milano

3.100 
+IVA
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Informazione importanti

  • Corso
  • Livello avanzato
  • Milano
  • Durata:
    4 Giorni
Descrizione


Rivolto a: Financial Consultants Fund Managers Client Relationship Managers Middle & Back Office personnel, reporting staff Compliance Officers Institutional investors Risk Managers Quantitative Analysts.

Informazione importanti
Sedi

Dove e quando

Inizio Luogo
Consultare
Milano
via Bocconi 8, 20136, Milano, Italia
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Cosa impari in questo corso?

Structured products
Break down structured products

Professori

docente SDA Bocconi
docente SDA Bocconi
esperto in materia

Programma

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



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.