Interview - Credit Derivatives

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??? ??? Dear Vince:
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??? ??? 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.
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??? ??? 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.
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??? ??? 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.
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??? ??? 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.
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??? ??? I look forward to hearing from you.
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??? ??? Best regards
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??? ??? Joao