Overview

This tutorial examines in more detail some of the key risks encountered by investors in structured products, and how the value of these products will vary as market parameters change. There is also an analysis of (constant proportion portfolio insurance (CPPI) and its use as an alternative to ‘classical’ principal-protected structures.

Objective

On completion of this tutorial, you will be able to:
- Explain the issues involved in establishing both the values for structured products and in calculating the sensitivities of those values to changes over time
- Distinguish between 'theoretical' valuation and a trading price
- Outline the constant proportion portfolio insurance (CPPI) dynamic approach to structured product construction

Content

Topic 1: Risk Fundamentals
Topic 2: Exotic Risks & Modelling Issues
Topic 3: Constant Proportion Portfolio Insurance (CPPI)