Iris,

We can mention to Ben that the papers will be edited and 
combined into a coherent review.

Vince



From: Iris Mack/ENRON@enronXgate on 04/23/2001 01:49 PM
To: Vasant Shanbhogue/ENRON@enronXgate, Vince J Kaminski/HOU/ECT@ECT, Amitava 
Dhar/Corp/Enron@ENRON
cc:  
Subject: FW: Enron Credit Model Docs for the Comparative Model Study - to be 
sent to Professor Duffie @ Stanford


Hi,

 Attached is a bit of feedback from Ben regarding the papers listed below.

 Can you help me out here?

Thanks,
Iris





 -----Original Message-----
From:  Parsons, Ben  
Sent: Monday, April 23, 2001 3:05 AM
To: Mack, Iris
Subject: RE: Enron Credit Model Docs for the Comparative Model Study - to be 
sent to Professor Duffie @ Stanford

Hi Iris

I would not include paper 8, as paper 7 supersedes it. Also how much 
rewriting of these papers do you envisage? Some of them are not up-to-date, 
or were written poorly and under time-pressure, so what do you envisage 
eventually sending to Duffie?

thanks

Ben


From: Iris Mack/ENRON@enronXgate on 21/04/2001 22:30 CDT
To: Ben Parsons/LON/ECT@ECT
cc: Vasant 
Shanbhogue@/O=ENRON/OU=NA/CN=RECIPIENTS/CN=NOTESADDR/CN=E6795104-40FF9820-8625
6525-68DAA0@EX@enronXgate, 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, George Albanis/LON/ECT@ECT, Markus 
Fiala/LON/ECT@ECT, Craig Chaney/ENRON@enronXgate, Kim 
Detiveaux/ENRON@enronXgate, Amitava Dhar/Corp/Enron@ENRON, Tanya 
Tamarchenko/HOU/ECT@ECT, Mike Mumford/LON/ECT@ECT 

Subject: RE: Enron Credit Model Docs for the Comparative Model Study - to be 
sent to Professor Duffie @ Stanford

Hi Ben,


 I think I have read all the papers that are to be used in the comparative 
model study to be sent to Professor Duffie at Stanford.  

 These documents are all listed below.   Please let me know if I have omitted 
any (However, don't get the impression that I am begging for more papers to 
read).

 Now I will try to transform my notes into a draft for Professor Duffie.

Thanks,
Iris

 



List of Papers  for Comparative Model Study

1.  Actively Managing Corporate Credit Risk:  New Methodologies and 
Instruments for Non-financial Firms
by R. Buy, V. Kaminski, K. Pinnamaneni & V. Shanbhogue
Chapter in a Risk Book entitled Credit Derivatives:  Application for Risk 
Management, Investment and Portfolio Optimisation

2.  Neural Network Placement Model
by George Albanis, EnronCredit (12/22/00)

3.  Pricing Parent Companies and their Subsidiaries:  Model Description and 
Data Requirements
by Ben Parsons and Tomas Valnek, Research Group

4.  A Survey of Contingent-Claims Approaches to Risky Debt Valuation
  by J. Bohn 
www.kmv.com/products/privatefirm.html 

 5.  The KMV EDF Credit Measure and Probabilities of Default
by M. Sellers, O. Vasicek & A. Levinson  
www.kmv.com/products/privatefirm.html 

6.  RiskCalc For Private Companies:  Moody's Default Model  
Moody's Investor Service:  Global Credit Research

7.  Discussion Document:  Asset Swap Model
by Ben Parsons, Research Group (4/20/01)

8.  Asset Swap Calculator:  Detailed Functional Implementation Specification 
(Version 1.0)
by Ben Parsons, Research Group  

9.  Discussion Document:  Live LIBOR Bootstrapping Model
by Ben Parsons, Research Group (4/20/01)

10.  The Modelling Behind the Fair Market Curves:  Including Country and 
Industry Offsets
by Nigel M. Price, Enron Credit Trading Group

11.  Pricing Portfolios of Default Swaps:  Synthetic CBOs  - Moody's versus 
the Full Monte (Carlo)
by Nigel M. Price, Enron Credit Trading Group

12.  Placement Model v1.0:  Discussion Document
by Ben Parsons, Research Group, 2000

13.  Credit Pricing Methodology - EnronCredit.com
by Ben Parsons, Research Group

14.  Correlation:  Critical Measure for Calculating Profit and Loss on 
Synthetic Credit Portfolios
by Katherine Siig, Enron Credit Group

15.  Discussion Document:  VAR Model for Enron Credit
by Ben Parsons, Research Group, (1/3/01)

16.  Methodology to Implement Approximate VAR Model for the Credit Trading 
Portfolio
by Kirstee Hewitt, Research Group