Message-ID: <19475697.1075856610875.JavaMail.evans@thyme> Date: Mon, 19 Jun 2000 07:12:00 -0700 (PDT) From: anjam.ahmad@enron.com To: eric.gadd@enron.com Subject: MG METALS: Quant Analysis & Risk Cc: vince.kaminski@enron.com, stinson.gibner@enron.com, dale.surbey@enron.com, esther.gerratt@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: vince.kaminski@enron.com, stinson.gibner@enron.com, dale.surbey@enron.com, esther.gerratt@enron.com X-From: Anjam Ahmad X-To: Eric Gadd X-cc: Vince J Kaminski, Stinson Gibner, Dale Surbey, Esther Gerratt X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\London X-Origin: Kaminski-V X-FileName: vkamins.nsf Hi Eric, Thanks for getting back to me - I believe there are a number of issues to address to ensure that the integration goes smoothly from a risk management and quantitative analysis perspective, and I have put together a (by no means exhaustive) list:- i) seamless transfer of front and middle office systems from an exotic options linking perspective (e.g. their spreadsheets link to different option pricing add-ins) ii) development of volatility curves and factor analysis to ensure that we can capture metals risk in our VaR system (we will require historical data for this). iii) ensure that MG staff on quant and risk side become familiar with our methods and systems and vice versa These tasks will involve a significant degree of cross-communication with relevant contacts within MG metals, and so I look forward to starting on the process as soon as possible - I hope to play a full part from a quantitative research and risk management perspective to ensure that everything goes smoothly in this exciting new development, so please do not hesitate to involve me. Best regards, Anjam Ahmad Research x35383 Enron Europe From: Anjam Ahmad 15/06/2000 16:18 To: Eric Gadd/LON/ECT@ECT cc: Dale Surbey/LON/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT Subject: Quant Analysis & Structuring for Metals Business Dear Eric, I understand from Dale that you are co-ordinating the integration of MG Metals into Enron Europe. Dale and I thought it would be a good idea to ensure that we are fully prepared from a quantitative research and structuring perspective so that we can "hit the ground running" when they do arrive. I would be grateful if you could provide a contact person in MG metals that may look after this area, or someone who may find it useful to discuss and identify their possible future modelling requirements. Thanks & regards, Anjam Ahmad Research x35383