risk article fyi .
- - - - - - - - - - - - - - - - - - - - - - forwarded by vasant shanbhogue / hou / ect on 01 / 23 / 2001
09 : 06 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
ben parsons
01 / 23 / 2001 08 : 51 am
to : nigel price / lon / ect @ ect , george albanis / lon / ect @ ect , markus
fiala / lon / ect @ ect , jean - sebastien fontaine / corp / enron @ enron , katherine
siig / eu / enron @ enron , amitava dhar / corp / enron @ enron , vasant
shanbhogue / hou / ect @ ect , ilan hershkovitz / lon / ect @ ect , greg
hedger / lon / ect @ ect , david a wall / risk mgmt / lon / ect @ ect , simon
brooks / lon / ect @ ect
cc : bryan seyfried / lon / ect @ ect , steven leppard / lon / ect @ ect
subject : risk article
everyone should read the attached risk article about calculating def probs
from cds quotes .
amazingly it is in pretty close agreement with our own methodology for both
cds valuation and reverse engineering def probs . the only extension in the
reverse engineering is that instead of linearly interpolating cds quotes ,
they propose minimising an error measure based on ' smoothness ' of def prob
curve and difference between model and market prices .
what is also amazing is the fact that this article has been published in
risk , given that it is essentially the same as my credit pricing paper , plus
one excellent idea . given extra time , resources and brainpower , there is no
reason why we shouldn ' t have similar work published ourselves .
ben
( thanks steve for pointing this article out )
- - - - - - - - - - - - - - - - - - - - - - forwarded by ben parsons / lon / ect on 23 / 01 / 2001 14 : 40
- - - - - - - - - - - - - - - - - - - - - - - - - - -
london fax system 2
23 / 01 / 2001 14 : 09
to : ben parsons / lon / ect @ ect
cc :
subject : new fax received ( likely sender : + 44 20 7783 8076 ) .
you have received a new fax from + 44 20 7783 8076
the image contains 3 page ( s ) .
risk article
fyi .
- - - - - - - - - - - - - - - - - - - - - - forwarded by vasant shanbhogue / hou / ect on 01 / 23 / 2001
09 : 06 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
ben parsons
01 / 23 / 2001 08 : 51 am
to : nigel price / lon / ect @ ect , george albanis / lon / ect @ ect , markus
fiala / lon / ect @ ect , jean - sebastien fontaine / corp / enron @ enron , katherine
siig / eu / enron @ enron , amitava dhar / corp / enron @ enron , vasant
shanbhogue / hou / ect @ ect , ilan hershkovitz / lon / ect @ ect , greg
hedger / lon / ect @ ect , david a wall / risk mgmt / lon / ect @ ect , simon
brooks / lon / ect @ ect
cc : bryan seyfried / lon / ect @ ect , steven leppard / lon / ect @ ect
subject : risk article
everyone should read the attached risk article about calculating def probs
from cds quotes .
amazingly it is in pretty close agreement with our own methodology for both
cds valuation and reverse engineering def probs . the only extension in the
reverse engineering is that instead of linearly interpolating cds quotes ,
they propose minimising an error measure based on ' smoothness ' of def prob
curve and difference between model and market prices .
what is also amazing is the fact that this article has been published in
risk , given that it is essentially the same as my credit pricing paper , plus
one excellent idea . given extra time , resources and brainpower , there is no
reason why we shouldn ' t have similar work published ourselves .
ben
( thanks steve for pointing this article out )
- - - - - - - - - - - - - - - - - - - - - - forwarded by ben parsons / lon / ect on 23 / 01 / 2001 14 : 40
- - - - - - - - - - - - - - - - - - - - - - - - - - -
london fax system 2
23 / 01 / 2001 14 : 09
to : ben parsons / lon / ect @ ect
cc :
subject : new fax received ( likely sender : + 44 20 7783 8076 ) .
you have received a new fax from + 44 20 7783 8076
the image contains 3 page ( s ) .