Message-ID: <14547009.1075856602577.JavaMail.evans@thyme>
Date: Mon, 2 Apr 2001 14:05:00 -0700 (PDT)
From: duffie@stanford.edu
To: vince.j.kaminski@enron.com
Subject: Re: Enron default swaps
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No hurry about those documents, I have
so much to do already!

Thanks and warm regards,

Darrell


On Mon, 2 Apr 2001 Vince.J.Kaminski@enron.com wrote:

>
> Darrell,
>
> Thanks. I am beating up on my group to accelerate preparation of
> documentation for
> the audit.
>
> Vince
>
>
>
>
>
> J D Duffie <duffie@stanford.edu> on 04/02/2001 03:35:31 PM
>
> To:   <Vince.J.Kaminski@enron.com>
> cc:   <vkaminski@aol.com>
> Subject:  Re: Enron default swaps
>
>
>
> Hi Vince!
>
> I got those notes. They should indeed
> be useful. The one from Deutsche Bank
> is especially helpful!
>
> I am suppose to know this stuff, as I teach it!
>
> Sorry about the delayed billing.
> I have had trouble getting a bill
> from my excellent asistant, Taichi Hoshino,
> who has returned to Goldman Tokyo,
> and has not been able to get anything else
> done lately. I will try to get something out soon!
>
> We had several energy people,
> from several companies, at our credit risk
> exec ed course last month. Seems that
> credit risk and  power risk go
> together these days!
>
> Warm regards, Darrell
>
>
>
>
> On Fri, 30 Mar 2001 Vince.J.Kaminski@enron.com wrote:
>
> >
> > Darrell,
> >
> > I am sending you 2 technical notes on Enron default swaps: I hope that
> they
> > will
> > be useful. I shall read the articles on weekend. I am curious if you
> > find these explanations satisfactory.
> >
> > We are very slow in preparing a number of technical documents
> > for you for model reviews. We still hope you will be able
> > to find some time to review our credit models (for our London
> > credit trading) and  VaR and option pricing related models.
> >
> > Also, please check your invoices. I still think we owe you money.
> >
> >
> > Vince
> >  (See attached file: CDS vs AS.pdf)(See attached file: cdsstrat.pdf)
> >
> >
> >
> >
> > Darrell Duffie <duffie@stanford.edu> on 03/28/2001 08:07:38 AM
> >
> > To:   Vince J Kaminski <Vince.J.Kaminski@enron.com>
> > cc:
> > Subject:  Re: Enron default swaps
> >
> >
> >
> >
> > Vince: According to a Bank of America
> > publication, your (Enron) default swap spreads
> > are consistently trading about 80
> > basis points wider than your asset swaps.
> > Any idea of what is going on here?
> >
> > Thanks for any guidance, Darrell
> >
> >
> > _____________________________________________
> > 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/
> > _____________________________________________
> >
> >
> >
> >
>
> _____________________________________________
> 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/
> _____________________________________________
>
>
>
>
>
>

_____________________________________________
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/
_____________________________________________