Use of Derivatives in Asset Management

Source of performance and hedging instruments

Course objectives

  • Master the methods for portfolio hedging with derivatives
  • Use derivatives to improve one's performance in risk management
  • Understand the functionning of structured products

Derivatives price and risk

  • Firm Derivatives: Futures and Swaps
  • Optional Derivatives: equity and rates
  • Credit Derivatives
  • Sensitivity, Greeks and risk management

Excel Case Study: Analyzing the price and sensitivities of simple derivatives

Derivatives as source of performance

  • Interest, risks and limits of derivatives management in management
  • Key optional strategies
  • Use exotics in Management: Binaries, barrier...

Hybrid instruments

  • Warrants
  • Convertible bonds
  • Callable bonds
  • Option adjusted spread
  • CFD
  • Performance swap
  • ETF
  • Variance swaps: volatility as an asset, VIX index contracts

Case Study: Management Strategy and choice of instruments

Insurance portfolio

  • The method of Stop Loss
  • Hedging with Futures

Case Study: Implementation and adjustments over time of a hedge by Futures

  • The optional methods OBPI
  • The CPPI cushion method

Case Study: Extension of methods to equities and credit markets

Structured Products

  • Creation of a structured product
  • The main structured products
    • Mono underlying products on vanilla or exotic options
    • Products of funds, such as CPPI cushion funds
  • Example of structured funds

Case Study:

- Studies of structured products in the market

- Risk management and reporting

- Reporting and regulatory ratio

- Performance indicators and risk

- Treatment options

Oscar Relier

Oscar Relier

Oscar has worked in corporate finance and trading room for SBC Warburg, UBS and Deutsche Bank. He masters the mechanism, use and pricing of derivatives. Also trained in behavioral techniques, he designs and conducts training on public presentation and on the issues of communication and management.

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