Bluemke How to Invest in Structured Products

A Guide for Investors and Asset Managers
1. Auflage 2009
ISBN: 978-0-470-68487-0
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 384 Seiten, E-Book

Reihe: Wiley Finance

This book is essential in understanding, investing and riskmanaging the holy grail of investments - structured products. Thebook begins by introducing structured products by way of a basicguide so that readers will be able to understand a payoff graphic,read a termsheet or assess a payoff formula, before moving on tothe key asset classes and their peculiarities. Readers will thenmove on to the more advanced subjects such as structured productsconstruction and behaviour during their lifetime. It also explainshow to avoid important pitfalls in products across all assetclasses, pitfalls that have led to huge losses over recent years,including detailed coverage of counterparty risk, the fall ofLehman Brothers and other key aspects of the financial crisisrelated to structured products. The second part of the bookpresents an original approach to implementing structured productsin a portfolio.
Key features include:
* A comprehensive list of factors an investor needs to take intoconsideration before investing. This makes it a great help to anybuyer of structured products;
* Unbiased advice on product investments across several assetclasses: equities, fixed income, foreign exchange andcommodities;
* Guidance on how to implement structured products in a portfoliocontext;
* A comprehensive questionnaire that will help investors todefine their own investment preferences, allowing for a greaterprecision when facing investment decisions;
* An original approach determining the typical distribution ofreturns for major product types, essential for productclassification and optimal portfolio implementation purposes;
* Written in a fresh, clear and understandable style, with manyfigures illustrating the products and very little mathematics.
This book will enable you to better comprehend the use ofstructured products in everyday banking, quickly analyzing aproduct, assessing which of your clients it suits, and recognizingits major pitfalls. You will be able to see the added value versusthe cost of a product and if the payoff is compatible with themarket expectations.

Autoren/Hrsg.

Bluemke, Andreas

Inhaltsverzeichnis

Disclaimer.
Foreword.
Acknowledgements.
Goal of this book.
Who should be interested.
Content summary.
Part I Individual Structured Products.
1 Introduction.
2 Generalities About Structured Products.
2.1 A Definition by Analogy.
2.2 Buyers, Sellers and Reasons for Investing in StructuredProducts.
2.3 Reading a Payoff Diagram.
2.4 Reading a Payoff Formula.
2.5 Reading a Term-Sheet.
3 The Categories of Structured Products.
3.1 Capital Guaranteed Products.
3.2 Yield Enhancement.
3.3 Participation.
4 Behavior of Structured Products During theirLifetime.
4.1 Main Valuation and Risk Measures.
4.2 Capital Guarantee.
4.3 Yield Enhancement.
4.4 Participation Products.
4.5 Other Participation Products.
5 Common Special Features of Structured Products.
5.1 Quanto Options.
5.2 Barrier Options.
5.3 Autocall and Callable Options.
5.4 Rolling Products and Products Without Fixed Maturity.
5.5 Conditional and Accumulating Coupons.
6 Functionality Options of Structured Products.
6.1 Physical or Cash Delivery with Equity-Based Products.
6.2 Clean Price and Dirty Price.
6.3 Lending Values.
6.4 Issue Minimum/Maximum Size and Liquidity.
6.5 Funding Rates and Counterparty/Credit Risk.
7 Foreign Exchange, Fixed Income and CommodityProducts.
7.1 FX-Based Structures.
7.2 Fixed Income Structures.
7.3 Commodity Structures.
8 Recent Developments.
8.1 Customized Index Products.
8.2 Actively Managed Certificates.
8.3 Electronic Trading Platforms.
Part II Structured Products in a Portfolio Context.
9 Introduction to Part II.
10 Classical Theory and Structured Products.
10.1 Distribution of Returns Shapes.
10.2 Classical Portfolio Management Theories.
10.3 Classical Theory and Structured Products.
10.4 Conclusion.
11 Structured Solution Proposal.
11.1 Preferred Distribution of Return Investment Process.
11.2 Distribution Classes: The Return Distribution Cube.
11.3 An Investor's Utility (Value) Curve.
11.4 Questionnaire.
12 Return Distributions of Structured Products.
12.1 Procedure and Data.
12.2 Capital Guaranteed Products.
12.3 Yield Enhancement Products.
12.4 Participation Products.
12.5 Conclusion: Product Classification.
13 Structured Portfolio Construction.
13.1 Portfolio Construction Process.
13.2 Constructing a Structured Product Portfolio in Theory.
13.3 Preferred Return Distribution Process Versus ClassicPortfolio Management.
13.4 Investor Portfolios.
14 Final Words.
Appendix A: Glossary of Terms.
Appendix B: Distribution of Returns: An IntuitiveExplanation.
Appendix C: Questionnaire.
Appendix D: List of Figures.
Appendix E: List of Tables.
Appendix F: Index Information.
Appendix G: Issuer and Product-Related Websites.
Bibliography.
Index.

Über Autor(innen)

ANDREAS BLÜMKE is Head of Structured Products at VPBank. He obtained a degree in economics, option businessmanagement, from the HEC University of Lausanne in 1992. He becamea Certified International Investment Analyst (CIIA) in 2000. Beforestarting a banking career, he was a commodity trader from 1992 to1995, working for Continental France in Toulouse as a soft-seedtrader, and later at Deustche Conti in Hamburg as edible oiltrader. He began his banking activities at UBS AG in 1996 inZürich, where he briefly traded bonds and bond futures, beforehe joined Cantrade Privatbank AG in 1997 to trade OTC options.Shortly after, he created and built the structured products desk.As the structured products business expanded successfully, hemanaged a team of up to 6 people, including an Advisory desk.Cantrade subsequently became Ehinger & Armand von Ernst AG, andwas acquired by Julius Baer AG in 2006.
He is married with two children, and fluent in French, Germanand English. Structured products have been his passion for the last12 years.