Constant Proportion Portfolio Insurance

Techniques, mechanisms, uses and perspective

Course objectives

  • Understand the mechanisms and uses of Constant Proportion Portfolio Insurance(CPPI)
  • Understand the management of the risks associated with CPPI's technique
  • Control the creation of product with guaranteed capital

Constant Proportion Portfolio Insurance(CPPI) technique specificities

  • Dynamic allocation mechanism
  • Principles of cushion and multiplier
  • Choosing the underlying asset(s)

Case Study: Analysis of a CPPI on stock index

Risk management associated with a CPPI's technique

  • Management of interest rate risk and risk of “gap”
  • Functional aspects and passing orders
  • The path dependency and range-trading issues

Case Study: Compared analysis of the greeks of a CPPI and an option

Using the CPPI technique

  • Creation of products with guaranteed capital
  • Pawl of performance and insensitivity to interest rates
  • CPPI related to hedge funds

Case Study: Various aspects of the CPPI offer today

Julien Dauchez

Julien Dauchez

Julien is a quant-trained derivatives specialist with over 16 years experience in capital markets. After graduating with a Masters in quantitative finance from HEC and a M.Eng in Applied Computer Science from Dauphine University in Paris, Julien started his career at Lehman Brothers in London in 1998 where he structured interest rates derivatives and hedge fund-linked products for clients in Europe. After 7 great years at Lehman, Julien joined Barclays Capital’s Equity and Fund Structured Markets (EFS) in New York where he headed the fund-linked derivatives structuring and marketing team for the Americas. Upon his return to London in 2010, Julien joined the asset management arm of Barclays Capital where he originated UCITS and other investment funds for both institutional and retail-oriented clients. Julien left Barclays in June 2013 to set-up his consultancy. In June 2014, at Natixis IM, he became manager of the Portfolio Research & Consulting team, which works only on portfolio analysis intended for professionnal investors.

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