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One the outputs would be expected loss for each of the trials (flat file) and
a graph depicting the distribution (example below from an early Owens Illinois model) -----Original Message----- From: De, Rabi Sent: Thursday, February 22, 2001 3:20 PM To: O'Leary, Martin; Tribolet, Michael; Estrems, Connie; Bradford, William Cc: Tamarchenko, Tanya; Dhar, Amitava; Kaminski, Vince; Kiatsupaibul, Seksan; Issler, Paulo Subject: Credit Reserve Simulation for EES Amitava and Seksan have identified the source of the discrepancy between the option prices calculated by the credit-reserve model and the stand-alone spreadsheet model used in deal pricing. We expect to put a fix in place by tomorrow. In response to your desire to see more output from credit reserve simulation, I have identified a list of possible items that may be of interest to you for credit pricing. 1. Potential Exposure across time 2. For each simulated credit event, display: default time exposure -- is deal-by-deal breakdown of any interest? commodity forward curves (or spot price ?) at default time I would appreciate it if you could let me know your wish list at your earliest. Thanks, Rabi De 5-4593
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