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Description |
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With the fast development of China’s stock market, financial derivative and related structured product markets are poised to explode in the near future. Financial innovation is increasingly becoming the key for institutions to generate new income and sustainable growth. The US sub-prime crisis highlights the huge impact and critical importance of the structured products in the world financial markets, and poses key questions China has to answer for the further development of its capital markets. |
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Objective |
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This 5-day programme provides a systematic framework about the theory and practice of financial structured product markets. The contents are mainly delivered by most experienced and powerful experts from Wall Street major financial institutions. The participants will learn a complete knowledge about various structured products and develop a deep understanding about the driving forces for the growth of the market. More importantly, the lecturers will also provide hands-on training on the practical issues of how to develop a structural product business in China environment. |
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Participants |
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Financial managers and risk managers who are in charge of financial innovations and product developments in financial institutions (commercial banks, security firms, and insurance companies, etc.). Investment managers and corporate finance officers from mutual funds, hedge funds, and large corporations will also benefit from this programme since they are increasingly exposed to the opportunities and the risks associated with these products. |
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Benefits |
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The programme participants will:
- Develop an overview about the development of structured product market and the opportunities and challenges it faces
- Understand the benefits of structured products as well as the risks
- Know how to value complicated structured products
- Know how to manage the risk of structured products
- Develop practical knowledge on the whole process of product development (product design/structure, pricing, administrative and legal issues, etc.)
- Understand the specific operational issues in China related to structured product development to make it a profitable business
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Coverage |
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- Overview of world-wide structured product markets
- How structured products create value for financial institutions who innovate them and corporations who invest in them
- Valuation of various structured products
- Risk management on structured products
- The essence of US sub-prime crisis; lessons, challenges and opportunities it provides for China market
- In-depth study on credit analysis and credit related structured products
- How to build a profitable structured product business
- Specific issues about developing structured products in China
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Schedule |
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Day 1 Products and Market
- morning
- Overview of Structured Products (credit, equity, interest rate)
- Brief history of Structured Credit Products(SCP)
- Development of the SCP markets - Driving forces of the growth
- Market participants and motivations
- Basic structure explained
- SCP classification
- Asset types
- afternoon
- Sell side story: funding gap, leverage, liquidity arbitrage
- Structural development
- The business set-up in a typical Wall Street bank
- Assembly line: process and procedures
- Moral hazards imbedded in the process
- China story and cases
Day 2 Cash Flow Analysis for CDO
- morning
- CBO: high yield bonds
- CLO: high yield loans
- ABS CDO: high grade and mezz deals
- US Middle Market Loans CLO
- Commercial Real Estate CDO
- afternoon
- Cash flow models
- Model as a structuring tool
- Model as a rating tool
- Model for scenario cash flow analysis
- Application in China: case study
Day 3 Credit Derivatives and Trading
- morning
- Growth of Credit Default Swaps(CDS): a brief history
- Basics of CDS
- Synthetic CDO
- Development of Correlation Trading
- afternoon
- David Li Model: the Copula model
- Model as a pricing tool vs risk management
- Model implement at the trading desk
- The fall-out of the model/correlation hedging: GM/FORD downgrade case
Day 4 Buy Side Analysis and Ratings Methodology
- morning
- Different point of view - buyer’s considerations
- Risk factors
- Portfolio analysis
- Structural analysis
- Trading strategies
- Conflict of interests of holders of different tranches
- afternoon
- Overview of credit rating
- CDO rating methodologies overview
- Quantitative ratings models
- Qualitative factors in rating analysis
Day 5 Legal Documentation, Market Update & Chinese Market Development
- morning
- Legal Documentation Issue: US and China
- Collateral manager review
- Special Topic: the US subprime financial crisis
- Detailed explanation of what happened
- Impact to US/European Credit markets
- Impact to Asian market
- Impact to Chinese market
- What to expect next
- afternoon
- Asia securitisation market overview
- Chinese securitisation, CDO & credit derivatives market development
- Course review
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Faculty |
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Professor Gao Yan, Programme Director
Guest Speakers
Yang Jichuan
Visiting Professor, CEIBS
Director of the Credit Derivatives Desk, Hong Kong Barclays Capital
Professor Yang holds a Ph.D. in Applied Mathematics from Brown University and a B.S. from Tsinghua University. He joined Barclays in May 2007, and is currently responsible for business development, origination, structuring and deal management in the areas of Structured Credit Products and Credit Derivatives in Asia. Prior to joining Barclays, he worked at Wachovia as a senior structurer for strcutured products in corporate bonds, bank loans, commercial real estate, and credit default swaps. He also worked at Citigroup based in New York as quantitative analyst and structurer for CDO.
David X. Li
Visiting Professor, CEIBS
Director and Head of Quantitative Analytics in CDO/Synthetic ABS Group, Barclays Capital
Professor Li holds Ph.D. in Statistics from University of Waterloo, Canada, M.Math. in Actuarial Science, M.B.A. in Finance, and M.A. in Finance. He joined Barclays in June 2004. Before that, he had been with World Capital Markets Inc., Citigroup as Director and Head of Global Derivative Research, AXA Financial as VP of Risk Management, and Partner of The RiskMetrics Group in New York. He was elected Council Member of the Society of Actuaries Investment Section, and currently is Associate Editor of North American Actuarial Journal. He has also been teaching at the University of Toronto, University of Waterloo, University of Manitoba etc. He invented the correlation structure model in 1997 which has acted as a driving force in the rapid development of the entire credit derivatives market. Now the model is reputed as “the industry’s current standard” and works for billions of dollars of transactions worldwide ever day.
Mao Shuguang
Visiting Professor, CEIBS
Vice President of the Structured Product Group, Wachovia Securities
Professor Mao received his Ph.D. in Geostatistics from Stanford University and his B.S. from Nanjing University. He joined Wachovia in August 2008, and is currently responsible for structured credit product distribution in Asia. Before joining Wachovia, he worked at Citigroup Hong Kong office as structured credit strategist, responsible for Asia Pacific regional securitisation market research, product structuring and investment strategy. Before moving to Hong Kong in 2006, he had worked in Citigroup New York head office for six years, with focus on corporate bond market. He worked closely with bond traders and corporate bond researchers to provide market monitoring and bond relative-value trading strategy to various institutional investors. He has experience on various fixed-income products, such as corporate bond, emerging market, and structured credit market, especially Asian local securitisation market. He published various articles and presented in various securitisation conferences and meetings in Asia as speaker and/or panel speaker. |
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Venue |
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- Shanghai (CEIBS Campus, 699 Hongfeng Road, Pudong, Shanghai)
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Admissions |
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Applications are reviewed as they arrive. Completed applications must be received 20 working days before the start of the programme. Any applications received after that date will be considered on a space-available basis. Please address all applications and enquiries to our customer service team in Shanghai, Beijing or Shenzhen.
Cancellations or changes of a programme registration may be made without penalty at least 15 working days before the programme's start date. If a confirmed booking is cancelled within 15 working days of the start of the programme, or if the applicant fails to attend the programme, a cancellation fee equaling to 20 percent of the total programme fee will be charged. When a request to substitute participant(s) for the same programme is made less than 15 working days before the start of the programme, the seat(s) will not be guaranteed. If an applicant is unable to attend the programme, the applicant may transfer to a different session of the same programme or another CEIBS Executive Education Programme within the same calendar year, but must pay any differences in fees between the two programmes. All changes and cancellations are subject to the final confirmation of CEIBS. |
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* CEIBS reserves the right to amend information on this programme including price, date, location, faculty, daily schedule and other details. |
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