re : creditdotcom projects amitava , can you schedule a brainstorming session with vasant , tanya , rakesh , myself and ben ( if possible ) ? what about the trip on monday . has it been scheduled ? vince amitava dhar @ enron 01 / 03 / 2001 08 : 30 am to : vince j kaminski / hou / ect @ ect , ben parsons / lon / ect @ ect cc : vasant shanbhogue / hou / ect @ ect subject : creditdotcom projects the following is a good summary from vasant about the projects and what is ahead of us . ben , please let me know when things are ready ; i can plan my trip accordingly . thanks , amitava enroncredit . com is working on 3 main models - - - the fmc model , the placement model , and the movement model . fmc model : provides credit default swap price curves for 16 ratings with 33 industry offsets . each day , this model takes the previous day ' s trader curves and adjusts them for the movement in bloomberg yields and observed swap prices . placement model : uses linear regression to credit default swap prices using dummified ranges for market capitalization , liquidity , kmv score , etc . one main issue here is that the dataset is biased towards investment grade names . alternate approaches looked at developing separate models for separate sunsets of names . movement model : provides an alert system for news . this is under development . current involvement of houston research group members is in the development / modifications of the placement model , especially in thinking through the various single vs multi model approaches . we can help in the brainstorming for better models for subsets . one main project right now is to get a separate model for subsidiaries , and to exclude subsidiary names from the main regression . value - at - risk is based on historical variance - covariance approach . the portfolio model is under development . agenda for houston research group members : once sufficient data is collected , start reviewing for potential analytic relationships . get weekly updates from london , and provide feedback . plan on a trip if the work warrants it , once the agenda is fairly well drawn out , and data is available for analysis .