Subject: Presentation - Integrating market risk and credit risk
From: [email-masked]
To: [email-masked], [email-masked], [email-masked]
Cc: [email-masked], [email-masked]
Date: Tue, 22 Feb 2000 02:46:00 -0800 (PST)

All,

I will be giving a 40min presentation on the above topic at the EPRM Energy 
2000 conference in April. The bulletpoints are:

Balancing market risk and credit risk to achieve a reliable estimation of 
total risk
Incorporating market risk into a credit risk model
Calculating probability of default using credit risk and market risk
Refining business practice to reflect credit risk and market risk evaluations

My proposed approach is to quickly step through the practical process of 
modelling credit risk, resulting in measures for expected loss and 
credit-VAR; then show how default probs can be calculated using bond and 
equity data. Finally I'll describe how credit risk can be mitigated using 
credit derivatives - plugging EnronCredit.com of course.

Any other ideas for broad topics and/or specific points to mention will be 
appreciated. The presentation has to be submitted next week.

Many thanks,

Ben