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Structured Products: the Ugly, the Uglier and the Ugliest
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Structured products pricing risk complexity
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Once limited to the most sophisticated institutional investors, the market of structured products has now become accessible to almost everyone. Indeed, the issuers (mostly big investment banks and brokerage firms) now target all potential investors with a capital to invest as small as a few hundred dollars. This paper will analyze some of these structured products both from the pricing and the risk assessment angles. The products that will be analyzed include some basic equity-linked notes, and other more complex like reverse convertibles (particularly the trigger-yield optimization notes on Apple stock and the litigation that ensued).