re : creditdotcom projects amitava ,
can you schedule a brainstorming session with vasant , tanya , rakesh , myself
and ben ( if possible ) ?
what about the trip on monday . has it been scheduled ?
vince
amitava dhar @ enron
01 / 03 / 2001 08 : 30 am
to : vince j kaminski / hou / ect @ ect , ben parsons / lon / ect @ ect
cc : vasant shanbhogue / hou / ect @ ect
subject : creditdotcom projects
the following is a good summary from vasant about the projects and what is
ahead of us .
ben , please let me know when things are ready ; i can plan my trip accordingly .
thanks ,
amitava
enroncredit . com is working on 3 main models - - - the fmc model , the placement
model , and the movement model .
fmc model : provides credit default swap price curves for 16 ratings with 33
industry offsets . each day , this model takes the previous day ' s trader
curves and adjusts them for the movement in bloomberg yields and observed
swap prices .
placement model : uses linear regression to credit default swap prices using
dummified ranges for market capitalization , liquidity , kmv score , etc . one
main issue here is that the dataset is biased towards investment grade
names . alternate approaches looked at developing separate models for
separate sunsets of names .
movement model : provides an alert system for news . this is under
development .
current involvement of houston research group members is in the
development / modifications of the placement model , especially in thinking
through the various single vs multi model approaches . we can help in the
brainstorming for better models for subsets . one main project right now is
to get a separate model for subsidiaries , and to exclude subsidiary names
from the main regression .
value - at - risk is based on historical variance - covariance approach .
the portfolio model is under development .
agenda for houston research group members :
once sufficient data is collected , start reviewing for potential analytic
relationships .
get weekly updates from london , and provide feedback .
plan on a trip if the work warrants it , once the agenda is fairly well drawn
out , and data is available for analysis .
re : creditdotcom projects
amitava ,
can you schedule a brainstorming session with vasant , tanya , rakesh , myself
and ben ( if possible ) ?
what about the trip on monday . has it been scheduled ?
vince
amitava dhar @ enron
01 / 03 / 2001 08 : 30 am
to : vince j kaminski / hou / ect @ ect , ben parsons / lon / ect @ ect
cc : vasant shanbhogue / hou / ect @ ect
subject : creditdotcom projects
the following is a good summary from vasant about the projects and what is
ahead of us .
ben , please let me know when things are ready ; i can plan my trip accordingly .
thanks ,
amitava
enroncredit . com is working on 3 main models - - - the fmc model , the placement
model , and the movement model .
fmc model : provides credit default swap price curves for 16 ratings with 33
industry offsets . each day , this model takes the previous day ' s trader
curves and adjusts them for the movement in bloomberg yields and observed
swap prices .
placement model : uses linear regression to credit default swap prices using
dummified ranges for market capitalization , liquidity , kmv score , etc . one
main issue here is that the dataset is biased towards investment grade
names . alternate approaches looked at developing separate models for
separate sunsets of names .
movement model : provides an alert system for news . this is under
development .
current involvement of houston research group members is in the
development / modifications of the placement model , especially in thinking
through the various single vs multi model approaches . we can help in the
brainstorming for better models for subsets . one main project right now is
to get a separate model for subsidiaries , and to exclude subsidiary names
from the main regression .
value - at - risk is based on historical variance - covariance approach .
the portfolio model is under development .
agenda for houston research group members :
once sufficient data is collected , start reviewing for potential analytic
relationships .
get weekly updates from london , and provide feedback .
plan on a trip if the work warrants it , once the agenda is fairly well drawn
out , and data is available for analysis .