Interview - Credit Derivatives

Dear Vince:

Thank you for the invitation yesterday. It was a pleasure to meet you all and learn more about the group, it's structure and to some extent what you are involved in. Please extend my thanks to all of them.

I am particularly interested in the Credit Swap trading platform that Enron has recently started. Such a platform will provide unique visibility into the Credit markets. As you suggested I tried to learn more about this from Tanya. I would like to learn more and if possible meet other people more directly linked to the effort.

Just simple instruments like Credit Swaps will require serious modelling capability for the pricing and the hedging of these apparently simple intruments. The market visibility I mention above can be explored through Credit Derivatives Trading successfully if Enron possesses superior (vis a vis Morgan Stanley, Salomon Smith Barney, Chase Manhatan, etc.) modelling technology in Credit Derivatives. I can and would like to consider the possibility of doing this for Enron. I would like to help develop and participate in putting together that business.

As I mentioned to you I have done some work in Credit Derivatives and am deeply familiar with virtually all the work of the principal academics in Credit Derivatives namely: Duffie, Lando, Tuffano, Duffee, Das, Lelland, etc. I have read carefully most of their work (published as well as working papers) on the subject to date.

I look forward to hearing from you.

Best regards

Joao