 denise problem shall prepare short presentation address issues vince kaminski denise furey ees 01 09 2001 11 12 vince j kaminski hou ect ect cc subject hope seen email problem jeremy asked group address anything want us supply assist forwarded denise furey hou ees 01 09 2001 11 11 denise furey 01 08 2001 11 46 gayle w muench hou ees ees michael tribolet corp enron enron william bradford hou ect ect vince j kaminski hou ect ect vasant shanbhogue hou ect ect cc black hou ees ees tony spruiell hou ees ees subject believe received request jeremy blachman hold afternoon january 10 th open site discuss manner rac research assess test credit quality ees transactions realize rac ees many discussions methodology might helpful us understand actual derivation analysis please call questions comments ext 30349 agenda follows 12 00 1 00 lunch 1 00 3 30 presentations 3 30 close discussion rac research presentations following topics would interest ees 1 derivation default probabilities including research discussion actual mathematical process analytics behind computations deemed best enron comparison historic default rates differ respect actual default rates shape cumulative default curves etc 2 volatilities used determine possible loss scenarios commodity portion ees deals including research selection curves application curves actual credit reserve model particular tests applicable products 3 recovery rates used credit reserve model figures derived rac 4 rac research adjusted credit reserve model accommodate unusual aspects deal including rac promotion payments accounts receivable committed capital factors ees also understands may familiar processes however perhaps areas would like understand fully please tell us would like hear us also rac sent us credit reserve model seen completed models perhaps prior meeting wednesday someone rac research could sit someone phil layton group go process various pieces put together