Iris,

Did you receive the documentation from  Ben?  I
could not open his attachment. 

Vince
---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 04/04/2001 
03:25 PM ---------------------------


Ben Parsons
04/04/2001 09:19 AM
To: Iris Mack/ENRON@enronXgate @ ENRON
cc: Vasant Shanbhogue/HOU/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT, Scott 
Salmon/EU/Enron@Enron, Bryan Seyfried/LON/ECT@ECT 
Subject: RE: Enron Credit Model Docs  

Iris

I'll leave this question to Vince, Vasant and Bryan as they have more 
experience of Duffie and what he'll be expecting.

Ben


From: Iris Mack/ENRON@enronXgate on 04/04/2001 09:05 CDT
To: Ben Parsons/LON/ECT@ECT
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: RE: Enron Credit Model Docs

Hi Ben,

Thanks for your email.

I will take a look at the information you forwarded to me.

What type of "product" is Professor Duffie expecting - an annotated 
bibliography and/or some analysis with a comparative study of the models, 
etc.?

Regards,
Iris

 -----Original Message-----
From:  Parsons, Ben  
Sent: Wednesday, April 04, 2001 8:48 AM
To: Mack, Iris
Cc: Shanbhogue, Vasant; Kaminski, Vince; Salmon, Scott; Seyfried, Bryan; 
Price, Nigel; Valnek, Tomas
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Nigel's doc on FMC curve generation (he claims it is out of date now though):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:

 << File: CreditDocs.zip >>