re : credit reserve update we have not done any recent analysis since the end of january or maybe even
the end of december . i will have rod nelson and tanya rohauer relook at the
impact of the changing yield curve on credit reserve .
we have a lot of improvements we need to make on our current methodology when
we have the time and resources to dedicate to it .
bill
vince j kaminski
02 / 17 / 2000 10 : 14 am
to : william s bradford / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect
subject : credit reserve update
bill ,
most recent vincent ' s update on what ' s going on with the credit model .
another issue . i am increasingly concerned with our general approach to the
generation
of probabilities of default . recent developments in the credit markets are
likely to
change completely the dynamics and levels of interest rate spreads . i am
curious if
you looked at the credit reserve based on the current yield curves ( as of the
last few days ) .
vince
- - - - - - - - - - - - - - - - - - - - - - forwarded by vince j kaminski / hou / ect on 02 / 17 / 2000
09 : 05 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
vincent tang
02 / 15 / 2000 05 : 12 pm
to : vince j kaminski / hou / ect @ ect
cc : grant masson / hou / ect @ ect , tanya tamarchenko / hou / ect @ ect
subject : credit reserve update
re : credit reserve update
we have not done any recent analysis since the end of january or maybe even
the end of december . i will have rod nelson and tanya rohauer relook at the
impact of the changing yield curve on credit reserve .
we have a lot of improvements we need to make on our current methodology when
we have the time and resources to dedicate to it .
bill
vince j kaminski
02 / 17 / 2000 10 : 14 am
to : william s bradford / hou / ect @ ect
cc : vince j kaminski / hou / ect @ ect
subject : credit reserve update
bill ,
most recent vincent ' s update on what ' s going on with the credit model .
another issue . i am increasingly concerned with our general approach to the
generation
of probabilities of default . recent developments in the credit markets are
likely to
change completely the dynamics and levels of interest rate spreads . i am
curious if
you looked at the credit reserve based on the current yield curves ( as of the
last few days ) .
vince
- - - - - - - - - - - - - - - - - - - - - - forwarded by vince j kaminski / hou / ect on 02 / 17 / 2000
09 : 05 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
vincent tang
02 / 15 / 2000 05 : 12 pm
to : vince j kaminski / hou / ect @ ect
cc : grant masson / hou / ect @ ect , tanya tamarchenko / hou / ect @ ect
subject : credit reserve update