Message-ID: <12174910.1075863444584.JavaMail.evans@thyme> Date: Sat, 1 Sep 2001 11:24:50 -0700 (PDT) From: duffie@smtp2.stanford.edu To: j.kaminski@enron.com Subject: RE: The first document for audit Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: J D Duffie @ENRON X-To: Kaminski, Vince J X-cc: X-bcc: X-Folder: \VKAMINS (Non-Privileged)\Kaminski, Vince J\Inbox X-Origin: Kaminski-V X-FileName: VKAMINS (Non-Privileged).pst Sounds good, Vince! Warm regards, Darrell > X-MimeOLE: Produced By Microsoft Exchange V6.0.4712.0 > Content-Class: urn:content-classes:message > MIME-Version: 1.0 > Subject: RE: The first document for audit > Date: Wed, 29 Aug 2001 16:18:11 -0500 > X-MS-Has-Attach: > X-MS-TNEF-Correlator: > Thread-Topic: Re: The first document for audit > Thread-Index: AcEo2pCsoVXSg5TNEdWxFgBQi+MJ2QH9NkKw > From: "Kaminski, Vince J" > To: "J D Duffie" > Cc: "Kaminski, Vince J" > X-OriginalArrivalTime: 29 Aug 2001 21:18:21.0575 (UTC) FILETIME=[21754970:01C130D0] > Content-Transfer-Encoding: 8bit > X-MIME-Autoconverted: from quoted-printable to 8bit by popserver.Stanford.EDU id f7TLIOb03100 > X-UIDL: 9f85aafe882d6975eef89b0477778dbb > X-Keywords: > > Hello Darrell, > > Many changes in Enron kept me busy during the last few days. > > Rabi and Tanya are working on a new version of the documentation > and we hope to send it to you in a few days. > > I agree with you that the document we sent you was rather cryptic > and apologize for not screening it more effectively. > I agree with you regarding point # 2 and so does Tanya. I think > she did not explain precisely what she meant by her comment. > > I hope to talk to you soon. > > Vince > > > P.S. We still owe you money for work done over the last 18 months. > > > -----Original Message----- > > From: J D Duffie @ENRON > > [mailto:IMCEANOTES-J+20D+20Duffie+20+3Cduffie+40smtp1+2Estanford+2Eedu > > +3E+40ENRON@ENRON.com] > > Sent: Sunday, August 19, 2001 12:33 PM > > To: Kaminski, Vince J > > Cc: duffie@smtp1.stanford.edu > > Subject: Re: The first document for audit > > > > Vince: > > > > I read the relibaility-based VAR method document with interest. > > > > Here are some comments: > > > > 1. The document falls short of describing how > > to use the method in practice, but rather > > gives some general motivation. I am confident > > that I myself could not develop an algorithm > > based on this document, unless all of the > > derivative valuation functions are explicit > > (and rather nice) functions > > with explicit derivatives of the underlying variables, in which case > > the VAR problem is not so hard in any case, > > as Monte Carlo is very effective in this case. > > (My comment here is critical of exposition. > > I do not suggest that the proposed method > > is weak!) > > > > 2. The remark (p. 2) that my paper with Jun Pan > > addresses only normal returns is not > > correct. The main point of our paper was to allow > > for jumps, including fat tails and skewness. > > The comment that we rely on delta-gamma > > is a good criticism,and the main potential > > advantage of the reliability approach, > > if it works in practical cases. > > > > 3. There is a typo at page 2, at 9 lines from > > the bottom, where I presume g(T(u)), not g(T(x)) > > > > 4. There is a missing `we' on page 5, 9 lines > > from the bottom. > > > > 5. The remark on CPU time (page 7) does > > not mention what machine was used. > > > > 6. The example (page 8) does > > not really have much non-normality. Skewness=0, > > and kurtosis (4) (is this excess kurtosis?) > > are not much compared to most practical cases, in which kurtosis > > is an extra order of magnitude, with lots > > of skewness. > > > > > > Overall, the paper piqued my curiosity a lot, > > and left me wanting more clarity, > > and a cookbook. > > > > > > I hope `events' at Enron have not made things > > difficult for you. > > > > I will later bill you for one hour, if that is OK. > > > > > > Warmest personal regards, Darrell > > > > > > > > > X-MimeOLE: Produced By Microsoft Exchange V6.0.4418.65 > > > content-class: urn:content-classes:message > > > MIME-Version: 1.0 > > > Subject: The first document for audit > > > Date: Mon, 16 Jul 2001 12:47:45 -0500 > > > X-MS-Has-Attach: > > > X-MS-TNEF-Correlator: > > > Thread-Topic: The first document for audit > > > Thread-Index: AcEOH2t+YrCeSfbQQ9uW1MfwNSwcgg== > > > From: "Kaminski, Vince J" > > > To: > > > Cc: > > > X-OriginalArrivalTime: 16 Jul 2001 17:48:09.0130 (UTC) > > FILETIME=[79ADE8A0:01C10E1F] > > > X-UIDL: 1c3d3038b819e9d553dd6b2f57734529 > > > > > > Darrell, > > > > > > I am sending you the first document for review. It's a new algorithm > > > invented by Rabi De and Tanya. > > > > > > The credit paper has been written but it needs more work > > > before we can send it to you. > > > > > > I think you will enjoy the document I am attaching. > > > > > > > > > Vince > > > > > > > > > <> > > > > _____________________________________________ > > Darrell Duffie > > mail GSB Stanford CA 94305-5015 USA > > phone 650 723 1976 > > fax 650 725 7979 > > email duffie@stanford.edu > > web http://www.stanford.edu/~duffie/ > > _____________________________________________ > > > > > ********************************************************************** > This e-mail is the property of Enron Corp. and/or its relevant affiliate and may contain confidential and privileged material for the sole use of the intended recipient (s). Any review, use, distribution or disclosure by others is strictly prohibited. If you are not the intended recipient (or authorized to receive for the recipient), please contact the sender or reply to Enron Corp. at enron.messaging.administration@enron.com and delete all copies of the message. This e-mail (and any attachments hereto) are not intended to be an offer (or an acceptance) and do not create or evidence a binding and enforceable contract between Enron Corp. (or any of its affiliates) and the intended recipient or any other party, and may not be relied on by anyone as the basis of a contract by estoppel or otherwise. Thank you. > ********************************************************************** _____________________________________________ Darrell Duffie mail GSB Stanford CA 94305-5015 USA phone 650 723 1976 fax 650 725 7979 email duffie@stanford.edu web http://www.stanford.edu/~duffie/ _____________________________________________