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Enron Mail |
No hurry about those documents, I have
so much to do already! Thanks and warm regards, Darrell On Mon, 2 Apr 2001 Vince.J.Kaminski@enron.com wrote: < < Darrell, < < Thanks. I am beating up on my group to accelerate preparation of < documentation for < the audit. < < Vince < < < < < < J D Duffie <duffie@stanford.edu< on 04/02/2001 03:35:31 PM < < To: <Vince.J.Kaminski@enron.com< < cc: <vkaminski@aol.com< < Subject: 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 <duffie@stanford.edu< on 03/28/2001 08:07:38 AM < < < < To: Vince J Kaminski <Vince.J.Kaminski@enron.com< < < 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/ < _____________________________________________ < < < < < < _____________________________________________ 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/ _____________________________________________
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