Quality Seal Emagister EMAGISTER CUM LAUDE

Fund Derivatives & Structured Asset Management

London Financial Studies
En London (Inglaterra)

£ 2.490 - (2.930 )
+ IVA

Información importante

  • Short course
  • London (Inglaterra)
  • Duración:
    2 Days
  • Cuándo:
    A elegir
Descripción

Fund Derivatives and Structured Asset Management are some of today’s hot topics in finance. Fund derivatives have grown exponentially since the 1990’s thanks to the institutionalization of hedge funds. The financial crisis has acted as a further catalyst to their growth, also enacting investors’ preference for protected funds.

This course gives participants a comprehensive overview of a fast expanding area, sitting between investment banking and asset management.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Structurers
Wealth managers
Product developers
Portfolio managers
Strategists
Risk managers
Derivatives salespeople

Requisitos: A quantitative background is preferred but not necessary to follow this course.

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
A elegir
London
34 Curlew Street, se12nd, London, Inglaterra
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¿Qué aprendes en este curso?

Risk
Investment Banking
Asset Management
Hedge Fund
Options
Investment
Banking
IT risk
Derivatives
CPPI
Fund derivatives
Strategy liquidity
Transparency risks
UCITS
Illiquid assets
SICAV
Wealth manager

Temario

Day One

Introduction
  • The origins of fund derivatives
  • Between investment banking and asset management
  • Understanding the growth of structured funds
Fund derivatives overview
  • Mutual fund and hedge fund based products
  • Capital protection and leverage
  • Funded vs unfunded instruments
Pricing and using options on funds
  • Setting fund requirements
  • Making the link between fund derivatives and equity derivatives
  • Put options and short fund positions
Managing fund derivatives risks
  • Manager specific risk
  • Strategy liquidity and transparency risks
  • Managing the 'Greeks' of fund options
Workshops:
  • Pricing a call option on a fund
  • How to pick a suitable underlying fund?
  • Pricing a call option on an European UCITS fund
  • Key aspects of hedging options on SICAV
  • Vega hedging through proxies
Understanding structured asset management
  • Retail and institutional oriented structured funds
  • Life policies wrapped protected funds
  • How to guarantee funds?
Originating structured funds
  • Understanding the UCITS investment restrictions
  • Eligibility of proprietary strategies and indices
  • Using derivatives for investment purposes
Comparing risk/return of structured funds and actively managed funds
  • Formula funds and actively managed funds
  • Positioning structured funds in the mean variance matrix
  • Managing the risks of structured funds
Workshops:
  • Understanding how a structured fund operates
  • Analysis of a fund prospectus and supplement
  • Overview of the regulatory environment applicable to structured funds
  • Identifying the sources of optionality of an Autocall Fund
Day Two

Managing derivatives on illiquid assets
  • The case for CPPI
  • Dynamic allocation, cushion and multiplier
  • High Water Mark funds
  • Clients paying for Gamma
  • Hedging gap risk and duration risks
Particularities of alternative fund linked products
  • Basics of due diligence
  • Manager style drift, fund gating
  • Fraud risk and investment guidelines
  • Operational and functional aspects of CPPI
Workshops:
  • Analysing a fund linked capital protected note:
    - Active CPPI allocation
    - Comparative performance calculation
    - Gap risk assessment
  • Comparative analysis of derivatives linked to hedge funds, hedge fund indices and hedge fund replication indices
Using hedge fund derivatives
  • Portable alpha transactions: principles and applications
  • Using managed accounts platforms efficiently
  • Optimizing Balance Sheet usage with Fund Derivatives
The future of fund derivatives and structured asset management
  • Dynamic asset allocation
  • Micro CPPIs
  • Alpha extraction strategies
  • How fund derivatives could solve the Western pensions crisis
Workshops:
  • ‘Glidepath’: analysis of a long term saving product linked to a portfolio of mutual funds
  • Analysis of a protected fund sold in a life insurance contract:
    - Identification of performance drivers
    - Analysis of the allocation mechanism and instruments used