re : denise ,
no problem .
we shall prepare a short presentation to address these issues .
vince kaminski
denise furey @ ees
01 / 09 / 2001 11 : 12 am
to : vince j kaminski / hou / ect @ ect
cc :
subject :
i hope you have seen the email below . do you have any problem with what
jeremy has asked you or your group to address . is there anything that you
want us to supply to you to assist you ?
- - - - - - - - - - - - - - - - - - - - - - forwarded by denise furey / hou / ees on 01 / 09 / 2001 11 : 11
am - - - - - - - - - - - - - - - - - - - - - - - - - - -
denise furey
01 / 08 / 2001 11 : 46 am
to : gayle w muench / hou / ees @ ees , michael tribolet / corp / enron @ enron , william s
bradford / hou / ect @ ect , vince j kaminski / hou / ect @ ect , vasant
shanbhogue / hou / ect @ ect
cc : don black / hou / ees @ ees , tony spruiell / hou / ees @ ees
subject :
i believe all of you received a request from jeremy blachman to hold the
afternoon of january 10 th open for an off - site to discuss the manner in which
rac and research assess / test the credit quality of ees transactions . i
realize that rac and ees have had many discussions as to the methodology , but
it might be helpful for all of us to understand the actual derivation of some
of analysis . please call me with any questions or comments at ext # 30349 .
the agenda will be as follows :
12 : 00 - 1 : 00 lunch
1 : 00 - 3 : 30 presentations
3 : 30 - to close discussion
rac / research presentations
the following topics would be of interest to ees :
1 - the derivation of default probabilities including ( research )
- - a discussion of the actual mathematical process ,
- - the analytics behind why these computations are deemed the best for
enron ,
- - a comparison to historic default rates and why they differ ( in respect
to actual default rates , shape of the cumulative default curves etc .
2 - the volatilities which are used to determine possible loss scenarios for
the commodity portion of ees deals including ( research )
- - the selection of curves
- - the application of those curves to the actual credit reserve model and
- - why these particular tests are applicable to our products .
3 - the recovery rates used in the credit reserve model . how are these
figures derived ? ( rac )
4 - how rac and research have adjusted the credit reserve model to
accommodate unusual aspects of the deal including ( rac )
- - promotion payments ,
- - accounts receivable
- - committed capital
- - and other factors
ees also understands that some of you may be familiar with our processes ,
however , there are perhaps areas that you would like to understand more
fully . please tell us what you would like to hear from us .
also , rac has sent us the credit reserve model and i have seen completed
models . perhaps prior to our meeting on wednesday , someone from rac and / or
research could sit with me and someone from phil layton ' s group and go
through the process of how the various pieces are put together .
re :
denise ,
no problem .
we shall prepare a short presentation to address these issues .
vince kaminski
denise furey @ ees
01 / 09 / 2001 11 : 12 am
to : vince j kaminski / hou / ect @ ect
cc :
subject :
i hope you have seen the email below . do you have any problem with what
jeremy has asked you or your group to address . is there anything that you
want us to supply to you to assist you ?
- - - - - - - - - - - - - - - - - - - - - - forwarded by denise furey / hou / ees on 01 / 09 / 2001 11 : 11
am - - - - - - - - - - - - - - - - - - - - - - - - - - -
denise furey
01 / 08 / 2001 11 : 46 am
to : gayle w muench / hou / ees @ ees , michael tribolet / corp / enron @ enron , william s
bradford / hou / ect @ ect , vince j kaminski / hou / ect @ ect , vasant
shanbhogue / hou / ect @ ect
cc : don black / hou / ees @ ees , tony spruiell / hou / ees @ ees
subject :
i believe all of you received a request from jeremy blachman to hold the
afternoon of january 10 th open for an off - site to discuss the manner in which
rac and research assess / test the credit quality of ees transactions . i
realize that rac and ees have had many discussions as to the methodology , but
it might be helpful for all of us to understand the actual derivation of some
of analysis . please call me with any questions or comments at ext # 30349 .
the agenda will be as follows :
12 : 00 - 1 : 00 lunch
1 : 00 - 3 : 30 presentations
3 : 30 - to close discussion
rac / research presentations
the following topics would be of interest to ees :
1 - the derivation of default probabilities including ( research )
- - a discussion of the actual mathematical process ,
- - the analytics behind why these computations are deemed the best for
enron ,
- - a comparison to historic default rates and why they differ ( in respect
to actual default rates , shape of the cumulative default curves etc .
2 - the volatilities which are used to determine possible loss scenarios for
the commodity portion of ees deals including ( research )
- - the selection of curves
- - the application of those curves to the actual credit reserve model and
- - why these particular tests are applicable to our products .
3 - the recovery rates used in the credit reserve model . how are these
figures derived ? ( rac )
4 - how rac and research have adjusted the credit reserve model to
accommodate unusual aspects of the deal including ( rac )
- - promotion payments ,
- - accounts receivable
- - committed capital
- - and other factors
ees also understands that some of you may be familiar with our processes ,
however , there are perhaps areas that you would like to understand more
fully . please tell us what you would like to hear from us .
also , rac has sent us the credit reserve model and i have seen completed
models . perhaps prior to our meeting on wednesday , someone from rac and / or
research could sit with me and someone from phil layton ' s group and go
through the process of how the various pieces are put together .