Message-ID: <9180088.1075856617775.JavaMail.evans@thyme> Date: Wed, 25 Apr 2001 23:37:00 -0700 (PDT) From: joaocneves@email.msn.com To: vince.j.kaminski@enron.com Subject: Interview - Credit Derivatives Mime-Version: 1.0 Content-Type: text/plain; charset=ANSI_X3.4-1968 Content-Transfer-Encoding: 7bit X-From: "JoaoCNeves" X-To: X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Resumes X-Origin: Kaminski-V X-FileName: vkamins.nsf ??????? ? ??? ??? Dear Vince: ? ??? ??? Thank you for the invitation yesterday. It was a pleasure to meet you all and learn more about the group, it's structure and to some extent what you are involved in. Please extend my thanks to all of them. ? ??? ??? I am particularly interested in the Credit Swap trading platform that Enron has recently started. Such a platform will provide unique visibility into the Credit markets. As you suggested I tried to learn more about this from Tanya.?I would like to learn more and if possible meet other people more directly linked to the effort. ? ??? ??? Just simple instruments like Credit Swaps will require serious modelling capability for the pricing and the hedging of these apparently simple intruments. The market visibility I mention above can be explored through Credit Derivatives Trading successfully if Enron possesses superior (vis a vis Morgan Stanley, Salomon Smith Barney, Chase Manhatan, etc.)?modelling technology in Credit Derivatives. I can and would like to?consider the possibility of doing this for Enron. I would like to help develop and participate in putting together that business. ? ??? ??? As I mentioned to you I have done some work in Credit Derivatives and am deeply familiar with virtually all the work of the principal academics in Credit Derivatives namely: Duffie, Lando, Tuffano, Duffee, Das, Lelland, etc. I have read carefully most of their work (published as well as working papers) on the subject to date. ? ??? ??? I look forward to hearing from you. ? ??? ??? Best regards ? ??? ??? Joao