re : enron default swaps hi vince !
i got those notes . they should indeed
be useful . the one from deutsche bank
is especially helpful !
i am suppose to know this stuff , as i teach it !
sorry about the delayed billing .
i have had trouble getting a bill
from my excellent asistant , taichi hoshino ,
who has returned to goldman tokyo ,
and has not been able to get anything else
done lately . i will try to get something out soon !
we had several energy people ,
from several companies , at our credit risk
exec ed course last month . seems that
credit risk and power risk go
together these days !
warm regards , darrell
on fri , 30 mar 2001 vince . j . kaminski @ enron . com wrote :
>
> darrell ,
>
> i am sending you 2 technical notes on enron default swaps : i hope that they
> will
> be useful . i shall read the articles on weekend . i am curious if you
> find these explanations satisfactory .
>
> we are very slow in preparing a number of technical documents
> for you for model reviews . we still hope you will be able
> to find some time to review our credit models ( for our london
> credit trading ) and var and option pricing related models .
>
> also , please check your invoices . i still think we owe you money .
>
>
> vince
> ( see attached file : cds vs as . pdf ) ( see attached file : cdsstrat . pdf )
>
>
>
>
> darrell duffie on 03 / 28 / 2001 08 : 07 : 38 am
>
> to : vince j kaminski
> cc :
> subject : re : enron default swaps
>
>
>
>
> vince : according to a bank of america
> publication , your ( enron ) default swap spreads
> are consistently trading about 80
> basis points wider than your asset swaps .
> any idea of what is going on here ?
>
> thanks for any guidance , darrell
>
>
> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
> darrell duffie
> mail gsb stanford ca 94305 - 5015 usa
> phone 650 723 1976
> fax 650 725 7979
> email duffie @ stanford . edu
> web http : / / www . stanford . edu / ~ duffie /
> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
>
>
>
>
darrell duffie
mail gsb stanford ca 94305 - 5015 usa
phone 650 723 1976
fax 650 725 7979
email duffie @ stanford . edu
web http : / / www . stanford . edu / ~ duffie /
re : enron default swaps
hi vince !
i got those notes . they should indeed
be useful . the one from deutsche bank
is especially helpful !
i am suppose to know this stuff , as i teach it !
sorry about the delayed billing .
i have had trouble getting a bill
from my excellent asistant , taichi hoshino ,
who has returned to goldman tokyo ,
and has not been able to get anything else
done lately . i will try to get something out soon !
we had several energy people ,
from several companies , at our credit risk
exec ed course last month . seems that
credit risk and power risk go
together these days !
warm regards , darrell
on fri , 30 mar 2001 vince . j . kaminski @ enron . com wrote :
>
> darrell ,
>
> i am sending you 2 technical notes on enron default swaps : i hope that they
> will
> be useful . i shall read the articles on weekend . i am curious if you
> find these explanations satisfactory .
>
> we are very slow in preparing a number of technical documents
> for you for model reviews . we still hope you will be able
> to find some time to review our credit models ( for our london
> credit trading ) and var and option pricing related models .
>
> also , please check your invoices . i still think we owe you money .
>
>
> vince
> ( see attached file : cds vs as . pdf ) ( see attached file : cdsstrat . pdf )
>
>
>
>
> darrell duffie on 03 / 28 / 2001 08 : 07 : 38 am
>
> to : vince j kaminski
> cc :
> subject : re : enron default swaps
>
>
>
>
> vince : according to a bank of america
> publication , your ( enron ) default swap spreads
> are consistently trading about 80
> basis points wider than your asset swaps .
> any idea of what is going on here ?
>
> thanks for any guidance , darrell
>
>
> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
> darrell duffie
> mail gsb stanford ca 94305 - 5015 usa
> phone 650 723 1976
> fax 650 725 7979
> email duffie @ stanford . edu
> web http : / / www . stanford . edu / ~ duffie /
> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
>
>
>
>
darrell duffie
mail gsb stanford ca 94305 - 5015 usa
phone 650 723 1976
fax 650 725 7979
email duffie @ stanford . edu
web http : / / www . stanford . edu / ~ duffie /
