Enron Credit Model Docs

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 04/04/2001
03:27 PM ---------------------------

Ben Parsons
04/04/2001 08:47 AM
To: Iris Mack/ENRON@enronXgate
cc: Vasant Shanbhogue/HOU/ECT@ECT, 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
Subject: Enron Credit Model Docs

Iris

Vasant informed me that you would be helping the quant efforts of Enron
Credit, with the first job to be compiling model documentation to be sent to
Darrell Duffie. I've attached below a pretty complete set of current docs we
have produced, in no particular order:

Nigel's doc on FMC curve generation (he claims it is out of date now though):

FMCMATHS.DOC

My doc on general theory we're using for pricing and default probability
generation:

CREDIT PRICING 2.1.DOC

My doc on asset swap calculation (there is one error to correct)

ASSET SWAP DFIS.PDF

My doc on Placement Model (a second version of the model incorporating
ratings has yet to be documented)

PLACEMENT MODEL 1.0.1.DOC

George's doc on the neural network placement model:

NEURAL NETWORK 1.0.DOC

My doc on the VAR model used for credit:

VAR MODEL 1.0 .DOC

and Kirstee's which preceded it:

CREDITVAR2.DOC

Nigel's doc on the portfolio model used for CDOs and basket trades:

SYNTHETICCDOS.DOC

Katherine's doc on correlations:

CORRELATIONS.DOC

Let me know if you need any more information about these models and their
applications.

Regards

Ben

PS I've had to zip the files up as they were too big: