Re: FW: Enron Credit Model Docs for the Comparative Model Study -

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: \Vincent_Kaminski_Jun2001_1\Notes Folders\All documents
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

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=E6795104-40FF9820-8625
6525-68DAA0@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