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Enron Mail |
FYI.
---------------------- Forwarded by Vasant Shanbhogue/HOU/ECT on 01/23/2001 09:06 AM --------------------------- Ben Parsons 01/23/2001 08:51 AM To: Nigel Price/LON/ECT@ECT, George Albanis/LON/ECT@ECT, Markus Fiala/LON/ECT@ECT, Jean-Sebastien Fontaine/Corp/Enron@Enron, Katherine Siig/EU/Enron@Enron, Amitava Dhar/Corp/Enron@ENRON, Vasant Shanbhogue/HOU/ECT@ECT, Ilan Hershkovitz/LON/ECT@ECT, Greg Hedger/LON/ECT@ECT, David A Wall/Risk Mgmt/LON/ECT@ECT, Simon Brooks/LON/ECT@ECT cc: Bryan Seyfried/LON/ECT@ECT, Steven Leppard/LON/ECT@ECT Subject: Risk article Everyone should read the attached Risk article about calculating def probs from CDS quotes. Amazingly it is in pretty close agreement with our own methodology for both CDS valuation and reverse engineering def probs. The only extension in the reverse engineering is that instead of linearly interpolating CDS quotes, they propose minimising an error measure based on 'smoothness' of def prob curve and difference between model and market prices. What is also amazing is the fact that this article has been published in Risk, given that it is essentially the same as my credit pricing paper, plus one excellent idea. Given extra time, resources and brainpower, there is no reason why we shouldn't have similar work published ourselves. Ben (thanks Steve for pointing this article out) ---------------------- Forwarded by Ben Parsons/LON/ECT on 23/01/2001 14:40 --------------------------- London Fax System2 23/01/2001 14:09 To: Ben Parsons/LON/ECT@ECT cc: Subject: New fax received (Likely sender: +44 20 7783 8076). You have received a new fax from +44 20 7783 8076 The image contains 3 page(s).
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