How to Invest in Structured Products A Guide for Investors and Asset Managers The Wiley Finance Series 1st Edition by Andreas Bluemke ISBN 0470746793 9780470746790

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ISBN 10: 0470746793 
ISBN 13: 9780470746790
Author: Andreas Bluemke

This book is essential in understanding, investing and risk managing the holy grail of investments – structured products. The book begins by introducing structured products by way of a basic guide so that readers will be able to understand a payoff graphic, read a termsheet or assess a payoff formula, before moving on to the key asset classes and their peculiarities. Readers will then move on to the more advanced subjects such as structured products construction and behaviour during their lifetime. It also explains how to avoid important pitfalls in products across all asset classes, pitfalls that have led to huge losses over recent years, including detailed coverage of counterparty risk, the fall of Lehman Brothers and other key aspects of the financial crisis related to structured products. The second part of the book presents an original approach to implementing structured products in a portfolio.

How to Invest in Structured Products A Guide for Investors and Asset Managers The Wiley Finance Series 1st Table of contents:

Part I Individual Structured Products 1

1 Introduction 3

2 Generalities About Structured Products 7

2.1 A Definition by Analogy 7

2.2 Buyers, Sellers and Reasons for Investing in Structured Products 9

2.3 Reading a Payoff Diagram 14

2.4 Reading a Payoff Formula 16

2.5 Reading a Term-Sheet 19

3 The Categories of Structured Products 33

3.1 Capital Guaranteed Products 34

3.2 Yield Enhancement 43

3.3 Participation 53

4 Behavior of Structured Products During their Lifetime 71

4.1 Main Valuation and Risk Measures 71

4.2 Capital Guarantee 78

4.3 Yield Enhancement 88

4.4 Participation Products 98

4.5 Other Participation Products 108

5 Common Special Features of Structured Products 117

5.1 Quanto Options 117

5.2 Barrier Options 121

5.3 Autocall and Callable Options 124

5.4 Rolling Products and Products Without Fixed Maturity 134

5.5 Conditional and Accumulating Coupons 136

6 Functionality Options of Structured Products 139

6.1 Physical or Cash Delivery with Equity-Based Products 139

6.2 Clean Price and Dirty Price 140

6.3 Lending Values 140

6.4 Issue Minimum/Maximum Size and Liquidity 142

6.5 Funding Rates and Counterparty/Credit Risk 145

7 Foreign Exchange, Fixed Income and Commodity Products 151

7.1 FX-Based Structures 151

7.2 Fixed Income Structures 168

7.3 Commodity Structures 187

8 Recent Developments 207

8.1 Customized Index Products 207

8.2 Actively Managed Certificates 210

8.3 Electronic Trading Platforms 213

Part II Structured Products in a Portfolio Context 217

9 Introduction to Part II 219

10 Classical Theory and Structured Products 223

10.1 Distribution of Returns Shapes 223

10.2 Classical Portfolio Management Theories 227

10.3 Classical Theory and Structured Products 230

10.4 Conclusion 233

11 Structured Solution Proposal 235

11.1 Preferred Distribution of Return Investment Process 235

11.2 Distribution Classes: The Return Distribution Cube 238

11.3 An Investor’s Utility (Value) Curve 240

11.4 Questionnaire 246

12 Return Distributions of Structured Products 259

12.1 Procedure and Data 259

12.2 Capital Guaranteed Products 264

12.3 Yield Enhancement Products 274

12.4 Participation Products 289

12.5 Conclusion: Product Classification 298

13 Structured Portfolio Construction 301

13.1 Portfolio Construction Process 301

13.2 Constructing a Structured Product Portfolio in Theory 302

13.3 Preferred Return Distribution Process Versus Classic Portfolio Management 305

13.4 Investor Portfolios 311

14 Final Words 317

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Tags: Andreas Bluemke, Invest, Structured Products, Investors, Asset Managers, Wiley Finance