Iris,

Let us know when you intend to send us your report.   This is the jump off point required to determine your understanding of the business and how we intend to go forward.

This is top priority.

MKF


From:	Iris Mack/ENRON@enronXgate on 28/05/2001 17:17 CDT
To:	Scott Salmon/EU/Enron@Enron
cc:	Vince J Kaminski/ENRON@enronXgate, Amitava Dhar/ENRON@enronXgate, Vasant Shanbhogue/ENRON@enronXgate, Jeff Kinneman/ENRON@enronXgate, Bryan Seyfried/LON/ECT@ECT, Markus Fiala/LON/ECT@ECT, Tanya Tamarchenko/ENRON@enronXgate 

Subject:	RE: Scott's concerns about the Public Firm Models

Hi Scott,

	I stand to be corrected.  I forgot that the recording of dates in the UK is different from the way it is recorded in the US.  The date on Geoge's document is "04/10/00", i.e., October 4, 2000.  

	Again, Jeff stated that he will be meeting with Vince and Bryan to sort out the public firm model issues.  Until then, I am busy trying to develop the private firm model - which is the deliverable we promised to Enron Credit (as stated in the Elaboration Document I sent last week).


Best regards,
Iris




 

 -----Original Message-----
From: 	Salmon, Scott  
Sent:	Monday, May 28, 2001 4:56 PM
To:	Mack, Iris
Cc:	Kaminski, Vince J; Dhar, Amitava; Shanbhogue, Vasant; Kinneman, Jeff; Seyfried, Bryan; Fiala, Markus; Tamarchenko, Tanya
Subject:	RE: Scott's concerns about the Public Firm Models

Hi Iris,

I also have copies of and have read the documents you mention; while they contain some good information, especially the movement model plan, the meeting summary is just that...a very general summary of a meeting with recommendations like "hire quants and make sure there is adequate communication among the different teams".  The meeting summary addresses testing only briefly in saying "be aware of the time dimension" which is obvious and has been addressed by adding more equity driven ratios as well as our plan to add a time dimension to capture ratings momentum following a downgrade.    

Perhaps you didn't understand my specific request for any ideas you might have to assist in model testing and also for an update on the Duffie report.  We still have not seen any drafts of what you learned.  As I'm sure you recall, the teleconference with Vince, Vasant, and Amitava focused exclusively on private firm models, the scope of the project, and data acquisition considerations.  After the call, you suggested to Bryan, Eric, Mike and I that your report would include many of the issues in George's 2 documents (movement model and meeting summary).  My personal hope, echoed by Bryan at that time, was that your report might be more insightful since the movement model, as you surely learned in your visit, is in its infancy and only one portion of the modelling effort and the meeting summary covered the most basic issues with minimal detail.    

I sincerely want to establish a solid relationship with Houston Research and hope we can move forward together in a coordinated, team-oriented approach.  I look forward to discussing it with you at our Tuesday teleconference.

Best regards,
Scott

FYI - George joined the company in Sep 2000 so could not have written the Movement Model proposal in April 2000.





From:	Iris Mack/ENRON@enronXgate on 26/05/2001 15:37 CDT
To:	Scott Salmon/EU/Enron@Enron
cc:	Vince J Kaminski/ENRON@enronXgate, Amitava Dhar/ENRON@enronXgate, Vasant Shanbhogue/ENRON@enronXgate, Jeff Kinneman/ENRON@enronXgate, Bryan Seyfried/LON/ECT@ECT, Markus Fiala/LON/ECT@ECT, Tanya Tamarchenko/ENRON@enronXgate 

Subject:	RE: Scott's concerns about the Public Firm Models



Hi Scott, 	
 

	How are you?  Thanks for your email.

	I can appreciate your concerns about the public firm models, but am at a loss for what more I can say that has not already been said. 

	Recall that during my recent trip to London, we had a conference call with Houston research, you, Bryan, Mike and Eric.  During this conference call Vince, Vasant, Amitava and I pointed out some of the "issues" with the public firm models and the data used to develop these models.  

	In addition, after that conference call you, Bryan, Mike, Eric and I had further discussions as to how to sort out the public firm models.  During this discussion we all agreed that most of these issues had already been raised and addressed by George Albanis in the following documents:
		1.  EnronCredit.com Project Proposal - Movement Model and Parallel Work - Phases IV,  by George Albanis, December 2000
		2.  Meeting 25/01/2001 - Review, by George Albanis.  

	I also forwarded copies of these documents to you and Ben via email on May 11th.  Just in case you can't find them, I will forward them again.

	Based on recent discussions with Jeff Kinneman, it is my understanding that he will be meeting with Vince and Bryan to figure out how to "repair" the public firm models.  Hence it may be more appropriate to direct any future concerns about the public firm models to their attention.




Regards,
Iris








	
 -----Original Message-----
From: 	Salmon, Scott  
Sent:	Friday, May 25, 2001 11:45 AM
To:	Mack, Iris
Cc:	Kaminski, Vince J; Dhar, Amitava
Subject:	Report to Professor Duffie

Hi Iris,

I wasn't sure if you had already sent your report to Professor Duffie yet or not, but I've been thinking about ways that his group (or the Research team) could really add value in an area where we're admittedly weak - model testing.  If you haven't sent the report to him yet, perhaps we can request his opinions on best practices for testing models with limited quality out of sample test sets.  Obviously, I'd like to discuss this in detail with you as well, especially since you understand the characteristics of the models and data better now, but I'll do that via phone.  I'm hoping there are some statistical techniques we're currently ignoring that we can employ to maximize the testing we do and get a better handle on judging our accuracy.

If you've got some time Tuesday after our meeting where Mike catches us up on the D&B issues, I'd love to get your views as the model testbed is now in place and we're starting a model recalbration phase.  I'm least comfortable about our plans for stress testing the models once we've recalibrated them.

Looking forward to talking to you Tuesday.

Regards,
Scott