MG METALS: Quant Analysis & Risk

Hi Eric,

Thanks for getting back to me - I believe there are a number of issues to
address to ensure that the integration goes smoothly from a risk management
and quantitative analysis perspective, and I have put together a (by no means
exhaustive) list:-

i) seamless transfer of front and middle office systems from an exotic
options linking perspective (e.g. their spreadsheets link to different option
pricing add-ins)
ii) development of volatility curves and factor analysis to ensure that we
can capture metals risk in our VaR system (we will require historical data
for this).
iii) ensure that MG staff on quant and risk side become familiar with our
methods and systems and vice versa

These tasks will involve a significant degree of cross-communication with
relevant contacts within MG metals, and so I look forward to starting on the
process as soon as possible - I hope to play a full part from a quantitative
research and risk management perspective to ensure that everything goes
smoothly in this exciting new development, so please do not hesitate to
involve me.

Best regards,

Anjam Ahmad
Research
x35383

Enron Europe

From: Anjam Ahmad 15/06/2000 16:18

To: Eric Gadd/LON/ECT@ECT
cc: Dale Surbey/LON/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT

Subject: Quant Analysis & Structuring for Metals Business

Dear Eric,

I understand from Dale that you are co-ordinating the integration of MG
Metals into Enron Europe. Dale and I thought it would be a good idea to
ensure that we are fully prepared from a quantitative research and
structuring perspective so that we can "hit the ground running" when they do
arrive. I would be grateful if you could provide a contact person in MG
metals that may look after this area, or someone who may find it useful to
discuss and identify their possible future modelling requirements.

Thanks & regards,

Anjam Ahmad
Research
x35383