Introduction to Cross Assets

Professor: Christophe Chouard, Associate Professor, Panthéon-Assas University, Aldis Capital Consultant

Objectives: The aim of the course is to understand how to design and structure financial assets or debt instruments that meet the specific objectives of investors or borrowers. After recalling the exposure and risk characteristics of the main derivatives, we will explain how to use them to structure custom packaged instruments.

Outline:

1. Introduction:

• Definition of a cross asset
• Some examples of cross assets
• Some examples of structured debts

2. Derivatives:

• Foreign exchange derivatives: forward exchange, cross-currency swap ;
• Rate derivatives: futures, interest rate swaps
• Equity Derivatives: Equity and Index Futures
• Optional instruments
• Anticipations and futures prices

3. Cross assets:

• Editing: issuer of a security, promise to the investor, derivatives
• The assembly of the derivatives portfolio to meet the promise
• Pricing.

4. Structured debts:

• Why a structured debt?
• Toxic loans contracted by local authorities
• Some practical examples

Grading: A final exam at the end of the semester.