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Establishment
Language of instruction
English
Teaching content
FINANCE
Training officer(s)
P.DAGUET
Stakeholder(s)
P.DAGUET
Présentation
Prerequisite
*** Prerequisite for non FIN students: INTRODUCTION TO CDO (offered in S1 of 2019-2020).
Goal
At the end of the course, the student should be able to :
- Understand the concepts attached to CDO arbitrage transactions
- Acquire a working knowledge of practical real-life situations faced by a CDO asset manage
- Understand the concepts attached to CDO arbitrage transactions
- Acquire a working knowledge of practical real-life situations faced by a CDO asset manage
Presentation
I Origination Phase
1. Source a portfolio of bonds and loans in the market (HYB et Leveraged Loans)
2. Proceed to collateral analysis and rating
3. Tranching and structuring: the portfolio will be tranched and the risks redistributed in various slices
4. Marketing and selling the tranches
5. Costing & profitability: an SPV is setup and fees are taken
II Management Phase > This phase involves several unexpected shocks that will hurt the portfolio. The manager will take appropriate actions to counter these shocks.
III Wind Down Phase > This phase involves selling and winding the portfolio down and giving the money back to investors. It is also the time to draw the line on the management of the portfolio and its performance.
1. Source a portfolio of bonds and loans in the market (HYB et Leveraged Loans)
2. Proceed to collateral analysis and rating
3. Tranching and structuring: the portfolio will be tranched and the risks redistributed in various slices
4. Marketing and selling the tranches
5. Costing & profitability: an SPV is setup and fees are taken
II Management Phase > This phase involves several unexpected shocks that will hurt the portfolio. The manager will take appropriate actions to counter these shocks.
III Wind Down Phase > This phase involves selling and winding the portfolio down and giving the money back to investors. It is also the time to draw the line on the management of the portfolio and its performance.
Modalités
Organization
| Type | Amount of time | Comment | |
|---|---|---|---|
| Autoformation | |||
| E-Learning | 20,00 | ||
| Travail personnel | |||
| Group Project | 30,00 | ||
| Overall student workload | 50,00 | ||
Evaluation
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Contrôle continu | |||
| QCM | 0,00 | 7 | 40,00 |
| Autres | |||
| Projet Collectif | 0,00 | 4 | 60,00 |
| TOTAL | 100,00 | ||