Quality Seal Emagister EMAGISTER CUM LAUDE

Convertible Bonds, Hybrids and CoCos: Issuing, Pricing, and Investing

London Financial Studies
En Singapore (Singapur), New York (Estados Unidos)

US$ 4.575 - (4.251 )
IVA exento

Información importante

Descripción

This course explains in detail a range of convertible securities, their applications and trading strategies (with special attention to hybrids and Contingent Convertibles CoCos).

Participants will undertake a series of workshops to explore key ideas including pricing convertible bonds, the incorporation of credit risk, handling corporate events such as ratchets, calculating Greeks and simulating trading strategies.

Workshops are built around real world convertible bond examples where participants will work their way through several prospectuses.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Traders
Credit and equity risk managers
IT
Middle office
Quantitative researchers
Hedge funds
Portfolio managers
Structured products desks
Debt capital markets staff

Requisitos: Numerate background (basic) Basic knowledge of fixed income and equity products Basic knowledge of Microsoft Excel

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
A elegir
New York
New York, Estados Unidos
Ver mapa
17 mayo 2017
Singapore
The Finexis Building, Singapore, Singapur
Ver mapa

¿Qué aprendes en este curso?

Risk
Trading
Options
Credit
IT risk
Trading Strategies
Equity
Derivatives
Convertible Bonds
Delta Hedging
Liquidity
Risk Management
Gamma trading
Equity Models
Death Spiral
Extension Risk

Temario

Day One

Introduction and Course Outline
The convertible bond market
  • Trading Strategies
  • Market Players
  • Cheapness
  • Yield Measures
  • Liquidity
Convertibles Primer
Basic introduction to what a convertible bond is and what its key elements are. Attention is given to the nomenclature: Convertible bonds come with their own language and conventions which are different from the traditional derivatives language: conversion premium, parity, conversion price, etc.

Convertible bonds: Instrument Features
  • Issuer Calls
  • Investor Puts
  • Cross Currency Convertible Bonds
  • Resets
    - A deeper understanding will be provided regarding the reset feature. The negative convexity of this feature can be a real trap for the convertible bond arbitrageur.
  • Dividend Protection
From prospectus to model
This part of the course is exercise driven. Based on several real world prospectuses, the delegates will set up a convertible bond from scratch dealing with the different instrument specific features: issuer calls, investor puts, etc. Starting from these sample prospectuses, the participant in the course will have to set up a valuation and initial hedge for each of these real world examples.

This will be done by making use of interactive spread sheet based models. All of the knowledge build up in the previous session is going to be embedded in this workshop.

Pricing Models
This part of the course introduces the delegates to the different mainstream models to value convertible bonds.

  • Equity Models:
    - Black Scholes
    - Jump Diffusion
    - Heston
  • Credit Models:
    - Blended Credit Spread
    - Intensity based (CDS based models)
Risk Management and hedging of a convertible bond portfolio
  • Delta hedging
Starting from a real world example, the delta hedging of a convertible bond portfolio will be explained. It will be shown how any delta hedge changes the risk profile of the bond.
  • Gamma trading
This section will deal with the impact of a frequent rebalancing of the hedge in low and high volatile markets.
  • Credit and Volatility hedges
This section will deal with the way to use listed options to deal with some of the volatility risk embedded within a convertible bond. Volatility contracts such as VIX and their possible pitfalls will be explained as well.
  • Sensitivity Analysis
This is an introduction to the different risk measures that can be applied to convertibles

Risk Management and hedging of a convertible bond portfolio
  • Delta hedging
    - Starting from a real world example, the delta hedging of a convertible bond portfolio will be explained. It will be shown how any delta hedge changes the risk profile of the bond
  • Gamma trading
    - This section will deal with the impact of a frequent rebalancing of the hedge in low and high volatile markets
  • Credit and Volatility hedges
    - This section will examine with the way to use listed options to deal with some of the volatility risk embedded within a convertible bond. Volatility contracts such as VIX and their possible pitfalls will be explained as well
  • Sensitivity Analysis
    - This is an introduction to the different risk measures that can be applied to convertibles
Convertible Bond: Advanced Instrument Features
  • Ratchets
Extended example on how ratchets should be evaluated whenever the convertible gets involved in a takeover situation
  • Convertible Bond Options (ASCOTS)
Hedging the credit risk by making used of options on convertible bonds.

Day Two

CoCos and Hybrids – part I
Introduction to Hybrid Assets
  • Issuers
  • Rating Agencies
  • Performance
  • Particular Risks : Regulatory calls, rating calls an extension risk
Preferreds : equity or bond volatility?
Corporate Hybrids
  • Yield pick up
  • Coupons : cancellation risk
  • Replacement Capital Covenant
  • Rating Agencies
  • Extension Risk : introduction
Contingent Capital
  • Definition
  • Timeline
  • Anatomy
  • CoCos with upside
  • CoCos vs convertible bonds
  • Tier 1 and Tier 2 CoCos
  • Pro and Contra
  • Alternative structures
Bail In Capital
  • Definition and differences with CoCo bonds
  • Examples of bail in
  • Resolution Framework in Europe
Day Three

CoCos and Hybrids – part II
Regulatory Framework
  • Basel III
  • ECB’ Stress Tests and CoCos
  • CRD IV
Risk profile of CoCo Bonds
  • Sensitivity analysis
  • Death Spiral
  • Extension Risk
Pricing Models
  • Equity Derivatives Approach
  • Credit Derivatives Approach
  • Adding Extension risk