Advanced Derivatives Applications for Asset Managers
Develop the ability to research which derivatives strategies best fit your management style - covering all aspects of strategy development and position follow up.
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Module 1: Asset Class: Equity Issuers and Buyers
- Decision making process: Equity & Debt
- Unleveraged & Leveraged (Buyers of Assets)
- Capitalization (Small Cap, Mid Cap, Large Cap)
- Equity Valuation (Fundamental Analysis)
- Absolute Valuation: Discounted Cash Flows
- Comparative Analysis: Multiples
- Equity Trading Points (Technical Analysis)
- Trend Following Indicators
- Entry & Exit Indicators
- Risk Management Points
- Measuring Performance - Benchmarks
- Ways Active Managers Beat Benchmarks
- Leveraged Equity Funds
Module 2: Asset Class: Interest Rate Issuers & Investors
- Governments & Corporations (Issuers)
- Decision Making Process: Maturity
- Unleveraged & Leveraged Buyers of Assets
- Investment Grade Corporate
- Cross Over Corporate Credit Rating
- High Yield Corporate
- Credit Ratings & Transitions
- Overview of Bond Pricing
- Calculating the “credit risky” Bond Spread
- Measuring Performance – Bond Indices
Module 3: Asset Class: Commodities
- Energy
- Metals (precious & industrial)
Module 4: Asset Class: Other Assets
- Non-correlated Asset Classes (i.e., Volatility)
- Exchange Traded Funds & ETN's
Module 1: Derivative Toolbox: Equities Derivative Products
- Equity Swaps
- Total Return Swaps
- Replication
- Equity Index-linked ETF's
- Importance of Liquidity
- ETF vs Futures
- Tracking Error & Volatility Drag
- Leveraged ETF's
Module 2: Derivative Toolbox: Interest Rate & Credit Default Swaps
- Terms & Conditions
- Market & quoting conventions
- Market Participants & Applications
- Hedging rate risk
- Creating synthetic assets
- Speculating on Interest Rates
- Speculating on Credit Spreads
- Trading 'basis': Underlying bond versus CDS
Module 1: Derivative Toolbox: Foreign Echange, Spot & Forwards
- Currency Pairs
- Quoting Convention & Trade Settlement
- Overview of Market Participants
- Overview of Uses & Applications
Module 2: Derivative Toolbox: Cross Currency Swaps
- Terms & Conditions
- Market & Quoting Conventions
- The Basic Swap
- The Lynchpin in the Cross Currency Swap
- Basis Swap: Contract Terms & Conditions
- Market Participants & Applications
- Hedging Rate Risk
- Creating Synthetic Assets
- Speculating on Rates in other countries
- Speculating on other countries Credit Spreads
- Overview of CDS Pricing
- CDS Pricing using Cash Flow Diagram
Module 3: Derivative Toolbox: Options
- Terms & Conditions
- Equity Options
- Interest Rate Options
- Trading venues & margin
- Market Participants & Applications
- How Each Market Participant Uses Options
- Overview of Options Pricing
- Probability & Volatility
- Risk Management- The Greeks
Module 1: Derivative Toolbox: Defining Strategy & Risk Management
- Dodd Frank Title VII
- Bilateral Contracts vs. Cleared Contracts
- Documentation
- Initial Margin
- Collateral Management
- Eligible Collateral
- Haircut Calculation
- Credit Valuation Adjustment (CVA)
- Calculation of Counterparty Risk
- Single Asset & Multi-Asset Managers
- Defining appropriate strategies
- Evaluating Risk
- Leveraged & Unleveraged Asset Managers
- Defining appropriate derivative strategies
- Evaluating Risk
Module 1: Derivatives Toolbox
- Conclusion