Derivative instruments - Step by step - M 7 - Structured products - credit linked notes, reverse convertible bonds, auto-call, inflation linked, volatility linked, shariah compliant, embedded derivatives

Whoever watched "The wolf of Wall Street" has struggled to understand the jobs, products, jargon that surround the financial markets. Some of us are still trying to get their way out of this financial jungle and clarify the associated strategies. Demystifying financial instruments is the key objective of the step by step programme we propose below. Our modular approach allows each participant to select his/her entry point in the programme to best fit cumulated knowledge and experience on this wide topic.

Objectives

By the end of this course, participants will be able to:

• Define the general characteristics of each instrument
• Gain in-depth understanding of how the instrument operates
• List how it can best be used on the market – be it in single or in combination
• with other instruments
• Understand the valuation method and what can impact the value of it
• Identify major risks associated and determine controls that may mitigate them

To attend this session, it is worth to have some knowledge of swaps and options instruments.

• A typology of structured product
• Analysis of main structured products, built on
• Interest rates: reverse floater, CMS, deposit return enhancement; example of an half- baked structure
• Currencies: note linked to a basket of currencies
• Stock index: note linked to a stock index performance, reverse convertibles, autocalls
• The case of "principal protected" structures

The content of the session is illustrated by many real, market examples. It is given in an attractive, understandable way, avoiding mathematical developments (grouped into a final "pricing" session).