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Enron Mail |
Hi again, Some of you have been kind enough to supply me with information that can be used for the strategic plan (I am writing for Duffie). To assist you in gathering further information, it was suggested that I forward a preliminary outline of this strategic plan to your attention. Thanks in advance for your assistance, Iris Table of Contents Executive Summary Highlights Introduction What is Enron Credit? What is the business plan? What are the products planned? Current status: what we currently trade, how we price. What new models we need to achieve goals. What attempts are being made internally and what external commercial sources are available. SWOT Analysis Strengths Weakness Opportunities Threats Pricing Approach A diagram illustrating how various models are tied together for the overall objective of coming up with final CDS and DBS pricing. Brief description of each model shown in the diagram. Public Firm versus Private Firm What we have as first cut for modeling primarily public firms. Our understanding on public versus private firms' credit risk characteristics, data availability and possible modeling approaches. Our proposed approach/plan towards development of private firm model, including comparative analysis, model development, etc.. Portfolio Level Business Feasibility Analysis Accounting Breakeven Analysis Portfolio Theory Alternative (Short term) Measures KMV' Private Firm Model Moody's RiskCalc Model for Private Firms Comparison of KMV vs Moody's Private Firm model Future Strategy Development of private firm pricing models (short- and long- tenor models0 Completion of Parent/Subsidiary Model Risk Management Model for ECT Business References
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