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Enron Mail |
Amitava,
Can you schedule a brainstorming session with Vasant, Tanya, Rakesh, myself and Ben (if possible)? What about the trip on Monday. Has it been scheduled? Vince Amitava Dhar@ENRON 01/03/2001 08:30 AM To: Vince J Kaminski/HOU/ECT@ECT, Ben Parsons/LON/ECT@ECT cc: Vasant Shanbhogue/HOU/ECT@ECT Subject: CreditDotCom Projects The following is a good summary from Vasant about the projects and what is ahead of us. Ben, please let me know when things are ready; I can plan my trip accordingly. Thanks, Amitava EnronCredit.com is working on 3 main models --- the FMC model, the Placement model, and the Movement model. FMC Model : provides credit default swap price curves for 16 ratings with 33 industry offsets. Each day, this model takes the previous day's trader curves and adjusts them for the movement in Bloomberg yields and observed swap prices. Placement Model : uses linear regression to credit default swap prices using dummified ranges for Market Capitalization, Liquidity, KMV Score, etc. One main issue here is that the dataset is biased towards investment grade names. Alternate approaches looked at developing separate models for separate sunsets of names. Movement Model : provides an alert system for news. This is under development. Current involvement of Houston Research Group members is in the development/modifications of the Placement Model, especially in thinking through the various single vs multi model approaches. We can help in the brainstorming for better models for subsets. One main project right now is to get a separate model for subsidiaries, and to exclude subsidiary names from the main regression. Value-at-risk is based on historical variance-covariance approach. The portfolio model is under development. Agenda for Houston Research Group members : Once sufficient data is collected, start reviewing for potential analytic relationships. Get weekly updates from London, and provide feedback. Plan on a trip if the work warrants it, once the agenda is fairly well drawn out, and data is available for analysis.
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