Exam Templates — Building and Risking a Convert Arb Book

A Programme reference casebook: given a small set of converts, build hedges, attribute risk, and answer desk-style “what breaks?” questions. The templates reuse Stages 1–5 without adding a new pricing model. Their job is harder: force a coherent story from prospectus to model, model to hedge, hedge to aggregate risk, and aggregate risk to a funding-aware exit rule.

Use the templates as a desk memo rather than a sequence of isolated calculations. A correct tree value with an impossible borrow, a low VaR with no margin cushion, or an index overlay that removes intended cheap-vol exposure is an incomplete answer.

• run a four-step trade checklist from term sheet to book hedge;
• answer scenario questions with regime-aware hedges;
• flag documentation and financing failure modes;
• produce a one-page risk memo for a mini-book.
• separate active risk the desk chooses from passive risk that needs an overlay.

1. Template A — Single-name entry
2. Template B — Stress questions
3. Template C — Mini-book memo (one page)
4. Template D — P&L attribution drill
5. Template E — Book construction and overlay choice