re : credit reserve simulation for ees one the outputs would be expected loss for each of the trials ( flat file ) and
a graph depicting the distribution ( example below from an early owens
illinois model )
- - - - - original message - - - - -
from : de , rabi
sent : thursday , february 22 , 2001 3 : 20 pm
to : o ' leary , martin ; tribolet , michael ; estrems , connie ; bradford , william
cc : tamarchenko , tanya ; dhar , amitava ; kaminski , vince ; kiatsupaibul , seksan ;
issler , paulo
subject : credit reserve simulation for ees
amitava and seksan have identified the source of the discrepancy between the
option prices calculated by the credit - reserve model and the stand - alone
spreadsheet model used in deal pricing . we expect to put a fix in place by
tomorrow .
in response to your desire to see more output from credit reserve simulation ,
i have identified a list of possible items that may be of interest to you for
credit pricing .
1 . potential exposure across time
2 . for each simulated credit event , display :
default time
exposure - - is deal - by - deal breakdown of any interest ?
commodity forward curves ( or spot price ? ) at default time
i would appreciate it if you could let me know your wish list at your
earliest .
thanks ,
rabi de
5 - 4593
re : credit reserve simulation for ees
one the outputs would be expected loss for each of the trials ( flat file ) and
a graph depicting the distribution ( example below from an early owens
illinois model )
- - - - - original message - - - - -
from : de , rabi
sent : thursday , february 22 , 2001 3 : 20 pm
to : o ' leary , martin ; tribolet , michael ; estrems , connie ; bradford , william
cc : tamarchenko , tanya ; dhar , amitava ; kaminski , vince ; kiatsupaibul , seksan ;
issler , paulo
subject : credit reserve simulation for ees
amitava and seksan have identified the source of the discrepancy between the
option prices calculated by the credit - reserve model and the stand - alone
spreadsheet model used in deal pricing . we expect to put a fix in place by
tomorrow .
in response to your desire to see more output from credit reserve simulation ,
i have identified a list of possible items that may be of interest to you for
credit pricing .
1 . potential exposure across time
2 . for each simulated credit event , display :
default time
exposure - - is deal - by - deal breakdown of any interest ?
commodity forward curves ( or spot price ? ) at default time
i would appreciate it if you could let me know your wish list at your
earliest .
thanks ,
rabi de
5 - 4593