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Enron Mail |
We have not done any recent analysis since the end of January or maybe even
the end of December. I will have Rod Nelson and Tanya Rohauer relook at the impact of the changing yield curve on Credit Reserve. We have a lot of improvements we need to make on our current methodology when we have the time and resources to dedicate to it. Bill Vince J Kaminski 02/17/2000 10:14 AM To: William S Bradford/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT Subject: Credit reserve update Bill, Most recent Vincent's update on what's going on with the credit model. Another issue. I am increasingly concerned with our general approach to the generation of probabilities of default. Recent developments in the credit markets are likely to change completely the dynamics and levels of interest rate spreads. I am curious if you looked at the credit reserve based on the current yield curves (as of the last few days). Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 02/17/2000 09:05 AM --------------------------- Vincent Tang 02/15/2000 05:12 PM To: Vince J Kaminski/HOU/ECT@ECT cc: Grant Masson/HOU/ECT@ECT, Tanya Tamarchenko/HOU/ECT@ECT Subject: Credit reserve update
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