Credit Model

Vince and Stinson,

We met Bill Bradford yesterday, the credit model modification turns out to be
three projects.

1) Potential exposure calculator

This requres forward curves simulation and revaluation of all deals over
the tenor (typically 20 years).
It needs multi-factor HJM and gas-electricity joint factors of loading.
Output from this model is the maximal loss amount and
its confidence interval.

Expected delivery time: 1 month

2) Include Asian option model into the current XLL calculation engine.

This is more concrete and simly to do.

Expected delivery time: 2 weeks.

3) Incorporate Krishna's "EAM" option valuation into the credit model

This one is not yet urgent.

I may need more resources to accomplish these tasks. Paulo has difficulty
to commit himself to even to the second task,
citing that he has other things to do. Therefore I need your help in setting
the prorities.

Thanks,

Zimin