Sounds good, Vince!
Warm regards,

Darrell


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> Subject: RE: The first document for audit
> Date: Wed, 29 Aug 2001 16:18:11 -0500
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> Thread-Topic: Re: The first document for audit
> Thread-Index: AcEo2pCsoVXSg5TNEdWxFgBQi+MJ2QH9NkKw
> From: "Kaminski, Vince J" <Vince.J.Kaminski@enron.com>
> To: "J D Duffie" <duffie@Stanford.EDU>
> Cc: "Kaminski, Vince J" <Vince.J.Kaminski@enron.com>
> X-OriginalArrivalTime: 29 Aug 2001 21:18:21.0575 (UTC)
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>
> Hello Darrell,
>
> Many changes in Enron kept me busy during  the last few days.
>
> Rabi and Tanya are working on a new version of the documentation
> and we hope to send it to you in a few days.
>
> I agree with you that the document we sent you was rather cryptic
> and apologize for not screening it more effectively.
> I agree with you regarding point # 2 and so does Tanya. I think
> she did not explain precisely what she meant by her comment.
>
> I hope to talk to you soon.
>
> Vince
>
>
> P.S. We still owe you money for work done over the last 18 months.
>
> >  -----Original Message-----
> > From: 	J D Duffie <duffie@smtp1.stanford.edu>@ENRON
> > [mailto:IMCEANOTES-J+20D+20Duffie+20+3Cduffie+40smtp1+2Estanford+2Eedu
> > +3E+40ENRON@ENRON.com]
> > Sent:	Sunday, August 19, 2001 12:33 PM
> > To:	Kaminski, Vince J
> > Cc:	duffie@smtp1.stanford.edu
> > Subject:	Re: The first document for audit
> >
> > Vince:
> >
> > I read the relibaility-based VAR method document with interest.
> >
> > Here are some comments:
> >
> > 1. The document falls short of describing how
> > to use the method in practice, but rather
> > gives some general motivation. I am confident
> > that I myself could not develop an algorithm
> > based on this document, unless all of the
> > derivative valuation functions are explicit
> > (and rather nice) functions
> > with explicit derivatives of the underlying variables, in which case
> > the VAR problem is not so hard in any case,
> > as Monte Carlo is very effective in this case.
> > (My comment here is critical of exposition.
> > I do not suggest that the proposed method
> > is weak!)
> >
> > 2. The remark (p. 2) that my paper with Jun Pan
> > addresses only normal returns is not
> > correct. The main point of our paper was to allow
> > for jumps, including fat tails and skewness.
> > The comment that we rely on delta-gamma
> > is a good criticism,and the main potential
> > advantage of the reliability approach,
> > if it works in practical cases.
> >
> > 3. There is a typo at page 2, at 9 lines from
> > the bottom, where I presume g(T(u)), not g(T(x))
> >
> > 4. There is a missing `we' on page 5, 9 lines
> > from the bottom.
> >
> > 5. The remark on CPU time (page 7) does
> > not mention what machine was used.
> >
> > 6. The example (page 8) does
> > not really have much non-normality. Skewness=0,
> > and kurtosis (4) (is this excess kurtosis?)
> > are not much compared to most practical cases, in which kurtosis
> > is an extra order of magnitude, with lots
> > of skewness.
> >
> >
> > Overall, the paper piqued my curiosity a lot,
> > and left me wanting more clarity,
> > and a cookbook.
> >
> >
> > I hope `events' at Enron have not made things
> > difficult for you.
> >
> > I will later bill you for one hour, if that is OK.
> >
> >
> > Warmest personal regards, Darrell
> >
> >
> >
> > > X-MimeOLE: Produced By Microsoft Exchange V6.0.4418.65
> > > content-class: urn:content-classes:message
> > > MIME-Version: 1.0
> > > Subject: The first document for audit
> > > Date: Mon, 16 Jul 2001 12:47:45 -0500
> > > X-MS-Has-Attach:
> > > X-MS-TNEF-Correlator:
> > > Thread-Topic: The first document for audit
> > > Thread-Index: AcEOH2t+YrCeSfbQQ9uW1MfwNSwcgg==
> > > From: "Kaminski, Vince J" <Vince.J.Kaminski@enron.com>
> > > To: <duffie@Stanford.EDU>
> > > Cc: <vkaminski@aol.com>
> > > X-OriginalArrivalTime: 16 Jul 2001 17:48:09.0130 (UTC)
> > FILETIME=[79ADE8A0:01C10E1F]
> > > X-UIDL: 1c3d3038b819e9d553dd6b2f57734529
> > >
> > > Darrell,
> > >
> > > I am sending you the first document for review. It's a new algorithm
> > > invented by Rabi De and Tanya.
> > >
> > > The credit paper has been written but it needs more work
> > > before we can send it to you.
> > >
> > > I think you will enjoy  the document I am attaching.
> > >
> > >
> > > Vince
> > >
> > >
> > >  <<Reliabiliy_VAR8.doc>>
> >
> > _____________________________________________
> > Darrell Duffie
> > mail  GSB Stanford CA 94305-5015 USA
> > phone 650 723 1976
> > fax   650 725 7979
> > email duffie@stanford.edu
> > web   http://www.stanford.edu/~duffie/
> > _____________________________________________
> >
>
>
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_____________________________________________
Darrell Duffie
mail  GSB Stanford CA 94305-5015 USA
phone 650 723 1976
fax   650 725 7979
email duffie@stanford.edu
web   http://www.stanford.edu/~duffie/
_____________________________________________