Structured Products Suite

This five-day program provides the concepts and theories and risks and regulations of the different asset types and market sectors along with a hands-on modeling session on structured credit product modeling.

08-Sep-2008 -- 12-Sep-2008New YorkUSD$4675
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Various Instructors; ] Mon Tue Wed Thu Fri Level: Intermediate
CPE Credits: 36.0

Sales staff, traders, financial analysts, securitization market practitioners, portfolio risk managers, corporate financiers, treasurers, credit risk managers and anyone who must value, evaluate or analyze CDOs.
No advance preparation required.
Students will be able to:
  • Demonstrate a practical understanding of the core concepts behind structured products
  • Develop an understanding for the range of asset classes that are linked to structured products
  • Understand the current and future path of the structured product market
  • Value a credit default swap using an equity-based and reduced form model
  • Estimate term structures of risk-adjusted default probabilities
  • Measure risk sensitivities of single-name credit derivatives
  • Develop a solid understanding of portfolio credit analytics such as the Gaussian Copula model
Structured Products Suite -- Overview of Structured Products - Basic understanding of financial market asset classes; Structured Credit Modeling - Some knowledge of derivatives theory would be an advantage
Day 1

Why do issuers distribute structured products?

    What are the advantages for investors?

      Form of the structured product and underlying asset/collateral

Day 2

Valuation of structured products

    Future opportunities in the market

Day 3

Structural credit risk models

    Reduced form models

      Credit default swaps and corporate bonds

        Trading strategies

Day 4

CDA structures and tranches

    Basics of default dependence

      Simulating correlated defaults

        The Gaussian Copula

Day 5

CDA valuation

    Implied correlations, base correlations, term structure effects

      CDO risk measures

        Beyond the Gaussian Copula

          Recent product innovations

Clients who register for this course will receive a complimentary 6 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process, and are limited to one per client. For questions about your subscriptions call 800-628-8088 or email uscirculation@ft.com. US and Canada enrollees only.

Lunch included for all students taking day classes.