ISDA Risk Management Luncheon

ISDA International Swaps and Derivatives Association, Inc.
600 Fifth Avenue
Rockefeller Center - 27th floor
New York, NY 10020

MEMO TO: ISDA North American Risk Management Contacts

FROM: Karel Engelen

DATE: January 2, 2002

RE: Risk Management Luncheon

ISDA is pleased to announce that Edward I. Altman, Max L. Heine Professor of
Finance at the Stern School of Business, New York University, will speak at
our next Risk Management luncheon.

In his presentation Professor Altman will present the results of a recent
study he conducted on the correlation between the Probability of Default and
Recovery Rates and the effects of this correlation on expected losses and
risk measures. He will discuss in more detail the correlation between
Recovery Rates and Probability of Default in the Merton model. The
multivariate econometric estimation model for Recovery Rates on Corporate
bond Defaults is extremely accurate in predicting 2001 Recovery Rates. The
research work has been done together with two Italian Colleagues: Andrea
Sironi and Andrea Resti.

Since 1990, Professor Altman has directed the research effort in Fixed
Income and Credit Markets at the NYU Salomon Center. He is currently the
Vice-Director of the Center. Prior to serving in his present position,
Professor Altman chaired the Stern School's MBA Program for 12 years. He has
been a visiting Professor at the Hautes Etudes Commerciales and Universite
de Paris-Dauphine in France, at the Pontificia Catolica Universidade in Rio
de Janeiro, at the Australian Graduate School of Management in Sydney and at
the Luigi Bocconi University in Milan.

Dr. Altman has an international reputation as an expert in corporate
bankruptcy, high yield bonds, distressed debt and credit risk analysis. He
was named Laureate 1984 by the Hautes Etudes Commerciales Foundation in
Paris for his accumulated works on corporate distress prediction models and
procedures for firm financial rehabilitation and awarded the Graham & Dodd
Scroll for 1985 by the Financial Analysts Federation for his work on Default
Rates on High Yield Corporate Debt. He was named "Profesor Honorario" by the
University of Buenos Aires in 1996. He is currently an advisor to the
Centrale dei Bilanci in Italy and to several foreign central banks.
Professor Altman is also the Chairman of the Academic Council of the
Turnaround Management Association. Dr. Altman was named to the Max L. Heine
endowed professorship at Stern in 1988. He was inducted into the Fixed
Income Analysts Society Hall of Fame in 2001 and elected President of the
Financial Management Association (2002). He received his MBA and Ph.D. in
Finance from the University of California, Los Angeles.

The luncheon will be held on Friday January 11, 2002 at 12:00 p.m. at the
Liffe USA Ltd. premises, 55 Broadway, Suite 2602, One Exchange Plaza, New
York.

If you would like to attend this luncheon, please notify Scott Marra at the
ISDA New York office (smarra@isda.org) by January 7, 2002. Because of
security requirements only people that reserved will be admitted to the
building.

We look forward to seeing you there.