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CPPI and CPPI Options
Posted: March 24th, 2006, 12:34 pm
by keribou
HiI would like to engage a talk about CPPI and CPPI Option: Features, Risk, Evolution, CPPI vs OBPI and Exotics features based on CPPI mechanism.Post your comments in this forum.Thanks
CPPI and CPPI Options
Posted: March 24th, 2006, 2:20 pm
by meteor
Do you have paper discribing these financial products as I would be interested to know more about these.
CPPI and CPPI Options
Posted: March 27th, 2006, 9:54 am
by hla
CPPI and CPPI Options
Posted: March 27th, 2006, 9:54 am
by hla
CPPI and CPPI Options
Posted: March 27th, 2006, 9:55 am
by hla
CPPI and CPPI Options
Posted: April 5th, 2006, 4:39 pm
by hypersphere
Let's throw things on one post and then talk about it:* Features: Crash size, guarantee level, initial equity exposure, Relev/Delev-raging triggers, fixed/floating floor, contingent/non-contingent/leverage fees* Risk: crash risk, vol risk in the way that a too volatile underlying will rebalance too often if the RL/DL triggers are too close, one not vol enough will never rebalance.* Evolution: add contingent coupons, lock in profits to increase the guarantee, target coupon redemption* Exotic features: bond + call on a CPPI to replicate exactly the payoff of the CPPI, best of several CPPI, etc.Pick up one and start asking !