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Table of Contents


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A Trader’s Guide to Financial Engineering


Objective: a 3-day seminar providing a first course on position structuring and financial engineering focusing on the "whole" picture of client/risk-return/market/product loop,  including:

·        assessment of risk-return profiles and approaches for constructing consistent positions

·        examination of products and their value/risk properties for use in structuring


·        market maker, prop traders, sales, support, structurers

·        management, treasurers, Risk Management

Table of Contents

1) Financial Engineering Preliminaries: establishes the framework structuring and financial engineering making the connection between market/client factors and trade idea generation vs. valuation.  This framework also initiates the "bottom-up" vs. "top-down" approaches in a risk-adjusted returns (RaROC) context.

2) Trade Ideas: From technical, fundamental, statistical and "market mode", consider "market mode" only examining that its Reactive, Recurrence, preparation (takes time), Product knowledge, Client risk profile and client interest and apply to Case Studies including Y-curve cases, Fixed in arrears, Spread cases, Asset allocation cases, International condition cases.

3) Product knowledge vs. structure/portfolio knowledge: examines the primary types of products used in structuring including examples of valuation and financial engineering implications of 

·        Product Knowledge: Securities including Equities, Interest Rates, Foreign Exchange, Commodities and Derivatives including Forwards/Futures, Vanilla options, Serial Options, Exotics, “Usual” Structures


·        Structure/Portfolio Knowledge: describing assessment of Structure/Portfolio properties with Bottom-up and Top-down approaches including attention to Risk Adjusted Returns analyses and simple RaROC and efficient frontiers


·        To many bells and whistles examples: (the tail that wags the dog) Off market swaps are loans in disguise, An option structure that is a loan in disguise, A convertible bond that is an FX option trade in disguise.


·        Dealing with the mundane (avoiding the big blow-ups): Capital impact, Credit impact, Systems impact, Operations impact, Regulatory impact (A spread option: “ ….. but, I didn’t know it was illegal”)

4) Case Studies:

·        View to buy with Scenario analyses and back testing


·        View to buy limited up-side (Stops? Vanilla options? Exotic options? Which gives “best” expectation on risk adjusted returns basis? Scenario analyses and back testing)


·        View on correlation/spreads with scenario analyses and back testing


·      View on increased price volatility with scenario analyses and back testing

5) Other Issues:  Convertibility, Taxation, Defaults


800 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: Seminars can be tailored to your trading, risk, client, and systems needs.  Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard" list HERE)

    Get a Syllabus in more detail

    Sign Up for a scheduled course

    Sign Up for an in-house course


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Last modified: July 25, 2011