ICM326-Structured Products

Module Provider: ICMA Centre
Number of credits: 10 [5 ECTS credits]
Level:7
Terms in which taught: Summer term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2023/4

Module Convenor: Prof Marcel Prokopczuk
Email: m.prokopczuk@icmacentre.ac.uk

Type of module:

Summary module description:

An applied, innovative approach to the structured product market from a practical point of view. Topical issues are addressed in a systematic way to discuss the principles of financial engineering and application to structured products. 

Aims:

This module aims to introduce the key principles and techniques of financial engineering used in  structured product design.

Assessable learning outcomes:

By the end of the module, students will be able to

• Apply key concepts of financial engineering to structured product design


• Explain and analyse different types of structured products currently available in the global capital markets.


• Solve a large variety of financial problems by designing and valuing one or more structured solutions. 

Additional outcomes:

Outline content:

• Introduction to Financial Engineering and Structured Products


• Cash Flow Engineering: Forwards and Swap Structures


• Structured Credit Markets: CDS and CDO Engineering


• Securitization of ABSs, CMO, CDOs, and other Structured Products


• Structuring with Exotic Options


• Structured Products for Principal Protection 


• Structured Products for Volatility Trading


• Equity Linked Structured Products

Brief description of teaching and learning methods:

Lectures will be used for both, the exposition of theory and for demonstrating applications to real world problems. There will be a total of 10h lectures. The techniques used to achieve the stated module objectives will consist of a combination of active teaching, question-answer sessions, problem solving, and class discussions.

Summative assessment- Examinations:

One written examination (60min)

The examination for this module will require a narrowly defined time window and is likely to be held in a dedicated exam venue.

Summative assessment- Coursework and in-class tests:

Formative assessment methods:

Penalties for late submission:

The below information applies to students on taught programmes except those on Postgraduate Flexible programmes. Penalties for late submission, and the associated procedures, which apply to Postgraduate Flexible programmes are specified in the policy “Penalties for late submission for Postgraduate Flexible programmes”, which can be found here: https://www.reading.ac.uk/cqsd/-/media/project/functions/cqsd/documents/cqsd-old-site-documents/penaltiesforlatesubmissionpgflexible.pdf

The Support Centres will apply the following penalties for work submitted late:

• where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of five working days;


• where the piece of work is submitted more than five working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

The University policy statement on penalties for late submission can be found at: https://www.reading.ac.uk/cqsd/-/media/project/functions/cqsd/documents/cqsd-old-site-documents/penaltiesforlatesubmission.pdf

You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

Assessment requirements for a pass:

A minimum mark of 50%.

Reassessment arrangements:

By written examination as part of the overall examination arrangements for the MSc programme.

Additional Costs (specified where applicable):

Last updated: 30 March 2023