Convertible Bonds: Issuing, Pricing and Investing
This course explains in detail the broad range of convertible securities and associated applications and trading strategies.
Participants will undertake a series of workshops to explain the key ideas including pricing convertible bonds, the incorporation of credit risk, handling corporate events such as ratchets, calculating Greeks and simulating trading strategies. Contingent Convertibles are also covered extensively.
Workshops are built around real world convertible bond examples where participants will work their way through several prospectuses. The course also provides every participant with hands-on application of recent models to price convertibles based on Monte Carlo techniques. Exercises and pricing models are implemented using Excel functions and macros and participants will be able to take away all worked examples.
Recommend to a Colleague- Date:
- Please contact us
- Venue:
- Central London
- Fee:
This course is also available in New York Time Zone and Singapore Time Zone
- Traders
- Credit and equity risk managers
- IT
- Middle office
- Quantitative researchers
- Hedge funds
- Portfolio managers
- Structured products desks
- Debt capital markets staff
- Numerate background (basic)
- Basic knowledge of fixed income and equity products
- Basic knowledge of Microsoft Excel
Rupesh Tailor is a banking sector specialist with over fourteen years’ experience, having worked for sell-side and buy-side financial institutions including Goldman Sachs, Barclays Capital, Merrill Lynch, Auriga Investors and Morgan Stanley. He specialized in the European bank sector as well as the analysis of high yield and leveraged finance investments. His responsibilities included analysis, trading and portfolio management of credit and equity products.
Rupesh has consulted for two of Europe’s Global Systemically Important Banks (GSIBs) regarding their stress test modelling - as part of the 2014 European Central Bank/European Banking Authority stress test of euro area banks - and has also developed stress test models for a variety of other banks’ ICAAP and ILAAP needs. His proprietary stress-testing models are widely recognized as having accurately predicted the failures of various US, Irish, Spanish and Icelandic banks; as well as being highly successful at identifying businesses in structural decline at an early stage.
He delivers courses globally in Asset-Liability Management, Bank Stress-Testing, Basel III, High Yield & Leveraged Finance, Distressed Debt, and Fixed Income Attribution to financial institutions and central banks. He is also a sought-after speaker and chairperson at leading industry events.
Rupesh received a MA in Economics from Cambridge University and achieved First Class Honours.
Request a Brochure with full details for Convertible Bonds: Issuing, Pricing and Investing
Convertible Bond Primer
Convertible Bonds
- Basic introduction to what convertible bond is and its key elements. Nomenclature: Convertible bonds come with their own language and conventions which is different from the traditional derivatives language: conversion premium, parity, conversion price, etc.
Contingent Convertibles (CoCos)
- A short introduction into Contingent Capital and CoCo bonds
- Reverse Convertibles: characteristics and application
- Credit Default Swaps
Workshop: Reverse Convertible (RC) modelling and convertible bond (CB) anatomy. Structuring CBs and RCs using Excel spreadsheets
Basic Valuation Models – A Hands-on Introduction to CB Pricing
- Lattice Models (binomial, trinomial and multinomial)
- Black and Scholes
- Implied Volatility
- Heston
Workshop: Monte Carlo pricing (Heston – Black and Scholes): a fast route to understand and price a new issue of complex CB setups
Cocos Bond Modelling (I)
- Contingent Convertibles recap
- Barrier Models
- Structural Models
- Credit Triangle
This section is dedicated to work out the pricing and risk of contingent convertibles using different techniques
Workshop: CoCo structuring, design and pricing. Handling the dynamics of Cocos and the death-spiral effect embedded within this asset class
Convertible Bonds: Anatomy, Market and Modelling (II)
- Instrument features (RESETS) - Understanding the reset feature and negative convexity
- Convertible bond market - Overview of the different parties involved in the issuing and trading of convertible bonds
- Pricing in practice
Workshop: Pricing convertible bonds - valuation and initial hedge using real-world examples
Convertible Bonds: Advanced Features
- Ratchets
- Evaluating ratchets in a takeover situation
- Dividend Protection
- Convertible Bond Options (ASCOTS). Hedging credit risk with ASCOTS
Workshop: American Monte Carlo in a real world example
Risk Management and Hedging of a Convertible Bond Portfolio
- Delta hedging. Changes in the risk profile of the bond
- Gamma trading. Impact of frequent rebalancing of the hedge in low and high volatility markets
- Credit and Volatility hedges
- Sensitivity Analysis. Different risk measures that can be applied to convertibles
Workshop: Discussion and round table
This course is highly recommended to get a good understanding of all types of hybrid instruments. Jan and Wim are fantastic teachers with both in-depth professional and academic experience.
(Senior Analyst - Convertibles - Lombard Odier Asset Management)
Very useful for anyone who considers adding convertible bonds or Cocos into their investment portfolios.
(Portfolio Manager - Fisch Asset Management)
Very practical and useful teaching from a top ranked hedge fund manager throughout topics that are not covered in any textbook or paper. I don't want to let any competitor know about this course.
(Capital Markets Origination - Citi)
"Very good [...] training that enhanced my capital markets knowledge."
(Investment Banking - Unicredit)
"Excellent presentation!"
(Equity Trader - )
Course Details
This course is also available in New York Time Zone and Singapore Time Zone
- To run this course at your organisation, contact us.
Call now for more information on this course or to book:
EMEA +44 (0) 20 7378 1050
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London Financial Studies is registered with GARP as an Approved Provider of Continuing Professional Development (CPD) credits.