Message-ID: <27730496.1075858469886.JavaMail.evans@thyme> Date: Tue, 24 Apr 2001 20:17:00 -0700 (PDT) From: vince.kaminski@enron.com To: iris.mack@enron.com Subject: Re: FW: Enron Credit Model Docs for the Comparative Model Study - to be sent to Professor Duffie @ Stanford Cc: vince.kaminski@enron.com, vasant.shanbhogue@enron.com, amitava.dhar@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: vince.kaminski@enron.com, vasant.shanbhogue@enron.com, amitava.dhar@enron.com X-From: Vince J Kaminski X-To: Iris Mack X-cc: Vince J Kaminski , Vasant Shanbhogue , Amitava Dhar X-bcc: X-Folder: \Vince_Kaminski_Jun2001_10\Sent Items X-Origin: Kaminski-V X-FileName: vkamins.pst Iris, We can mention to Ben that the papers will be edited and combined into a coherent review. Vince From: Iris Mack/ENRON@enronXgate on 04/23/2001 01:49 PM To: Vasant Shanbhogue/ENRON@enronXgate, Vince J Kaminski/HOU/ECT@ECT, Amitava Dhar/Corp/Enron@ENRON cc: Subject: FW: Enron Credit Model Docs for the Comparative Model Study - to be sent to Professor Duffie @ Stanford Hi, Attached is a bit of feedback from Ben regarding the papers listed below. Can you help me out here? Thanks, Iris -----Original Message----- From: Parsons, Ben Sent: Monday, April 23, 2001 3:05 AM To: Mack, Iris Subject: RE: Enron Credit Model Docs for the Comparative Model Study - to be sent to Professor Duffie @ Stanford Hi Iris I would not include paper 8, as paper 7 supersedes it. Also how much rewriting of these papers do you envisage? Some of them are not up-to-date, or were written poorly and under time-pressure, so what do you envisage eventually sending to Duffie? thanks Ben From: Iris Mack/ENRON@enronXgate on 21/04/2001 22:30 CDT To: Ben Parsons/LON/ECT@ECT cc: Vasant Shanbhogue@/O=ENRON/OU=NA/CN=RECIPIENTS/CN=NOTESADDR/CN=E6795104-40FF9820-86256525-68DAA0@EX@enronXgate, Vince J Kaminski/HOU/ECT@ECT, Scott Salmon/EU/Enron@Enron, Bryan Seyfried/LON/ECT@ECT, Nigel Price/LON/ECT@ECT, Tomas Valnek/LON/ECT@ECT, George Albanis/LON/ECT@ECT, Markus Fiala/LON/ECT@ECT, Craig Chaney/ENRON@enronXgate, Kim Detiveaux/ENRON@enronXgate, Amitava Dhar/Corp/Enron@ENRON, Tanya Tamarchenko/HOU/ECT@ECT, Mike Mumford/LON/ECT@ECT Subject: RE: Enron Credit Model Docs for the Comparative Model Study - to be sent to Professor Duffie @ Stanford Hi Ben, I think I have read all the papers that are to be used in the comparative model study to be sent to Professor Duffie at Stanford. These documents are all listed below. Please let me know if I have omitted any (However, don't get the impression that I am begging for more papers to read). Now I will try to transform my notes into a draft for Professor Duffie. Thanks, Iris List of Papers for Comparative Model Study 1. Actively Managing Corporate Credit Risk: New Methodologies and Instruments for Non-financial Firms by R. Buy, V. Kaminski, K. Pinnamaneni & V. Shanbhogue Chapter in a Risk Book entitled Credit Derivatives: Application for Risk Management, Investment and Portfolio Optimisation 2. Neural Network Placement Model by George Albanis, EnronCredit (12/22/00) 3. Pricing Parent Companies and their Subsidiaries: Model Description and Data Requirements by Ben Parsons and Tomas Valnek, Research Group 4. A Survey of Contingent-Claims Approaches to Risky Debt Valuation by J. Bohn www.kmv.com/products/privatefirm.html 5. The KMV EDF Credit Measure and Probabilities of Default by M. Sellers, O. Vasicek & A. Levinson www.kmv.com/products/privatefirm.html 6. RiskCalc For Private Companies: Moody's Default Model Moody's Investor Service: Global Credit Research 7. Discussion Document: Asset Swap Model by Ben Parsons, Research Group (4/20/01) 8. Asset Swap Calculator: Detailed Functional Implementation Specification (Version 1.0) by Ben Parsons, Research Group 9. Discussion Document: Live LIBOR Bootstrapping Model by Ben Parsons, Research Group (4/20/01) 10. The Modelling Behind the Fair Market Curves: Including Country and Industry Offsets by Nigel M. Price, Enron Credit Trading Group 11. Pricing Portfolios of Default Swaps: Synthetic CBOs - Moody's versus the Full Monte (Carlo) by Nigel M. Price, Enron Credit Trading Group 12. Placement Model v1.0: Discussion Document by Ben Parsons, Research Group, 2000 13. Credit Pricing Methodology - EnronCredit.com by Ben Parsons, Research Group 14. Correlation: Critical Measure for Calculating Profit and Loss on Synthetic Credit Portfolios by Katherine Siig, Enron Credit Group 15. Discussion Document: VAR Model for Enron Credit by Ben Parsons, Research Group, (1/3/01) 16. Methodology to Implement Approximate VAR Model for the Credit Trading Portfolio by Kirstee Hewitt, Research Group