Investment Banking: Introduction to Structured Products培訓

Course Code

ibsp

Duration

21 hours 同常來說包括休息是 3天

Overview

結構化產品介紹

該課程的目的是向代表們介紹投資銀行業務中使用的結構性產品。完成課程後,所有代表將具備該主題的工作知識,並將能夠回答

  1. 什麼是結構化產品?
  2. 為什麼發行它們?
  3. 發行人和投資者如何受益?
  4. 您如何構建和定價一系列衍生產品?
  5. 生產結構性金融產品的風險和成本是多少?
  6. 什麼是嵌入式衍生品?
  7. 有什麼奇特的選擇?
  8. 什麼是定價和對沖考慮因素?

Machine Translated

課程簡介

Session 1 – Structured Products

  • What is a structured product?
  • Types of structured product
    • Asset back securities
    • Collateralised debt obligations
    • Collateralised mortgage obligations
  • The role of the special purpose vehicle
  • How to price structured products
  • What are the key risks?
  • Accounting for structured products
  • How to price a structured product

Session 2: Interest Rate Structures

  • Embedded options & swaps
  • Reverse floaters
  • Leveraged swap linked notes
  • Bonds linked to rates other than libor
  • Extendible and cancellable swaps
  • Embedded swaptions

Session 3 – Options Contracts

  • Introduction to options
  • Options terminology
  • Traded vs OTC
  • Option premium
  • Confirmation and settlement
  • Volatility
  • Pricing an option –
    • Binomial model
    • Black Scholes
    • Other approaches
  • The importance of the yield curve

Session 4 – Swaps contracts

  • Introduction to swaps
  • Swap definitions
  • Quality spread differential
  • Interest rate swaps
  • Currency swaps
  • Pricing interest rate swaps
  • Swap valuations
  • Model risk and the importance of pricing feeds
  • Confirmation and settlement
  • Counterparty credit risk
  • Collateral and collateral management

Session 5 – Introduction to Derivatives

  • What is a derivative?
  • Why are people worried about derivatives?
  • Key concepts
  • Arbitrage and the original purpose of derivatives – the mutual coincidence of wants
  • Benefits and uses of derivatives
  • Hedging and trading

Session 6 – Foreign Exchange

  • Banking book v trading book
  • Market conventions
  • Language of foreign exchange
  • The process of trading foreign exchange
  • Electronic and telephone trading
  • Dealing room controls
  • Currency terms

Session 7 – Forward Transactions

  • Introduction to forward contracts
  • Purpose of forward contracts
  • Pricing a forward contract and the importance of Libor
  • Documenting a forward contract
  • Introduction to the ISDA
  • Confirming and settling forward contacts

Session 8 – Futures Contracts

  • Introduction to futures contracts
  • The role of the futures exchange
  • The nature of futures contracts
  • The role in trading
  • Pricing a futures contract
  • Hedging with futures
  • The importance of margin accounting
  • Confirmation and settlement

Session 9: Equity Swaps

  • Fund management objectives
  • Using a swap with an equity price index
  • Example of cash flows of an equity swap
  • Total return swaps and other credit derivatives

Session 10 – What goes wrong in practice

  • Scenario modelling and derivatives
  • Bankers Trust
  • Barings
  • Allfirst
  • LTCM
  • Enron

Session 11 – Introduction to Advanced Topics

  • The management of interest rate risk
  • Introduction to collateralised instruments
  • Counterparty credit risk and derivatives
  • Legal risk and derivatives
  • Value at risk and Exposure at default
  • Loss given default and probability of default
  • Stress testing and liquidity risk
  • Scenario modelling
  • The impact of international accounting standards, IAS 39 and IFRS 7
  • Asset recognition and derecognition

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