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Enron Mail |
Darrell,
I am sending you 2 technical notes on Enron default swaps: I hope that they will be useful. I shall read the articles on weekend. I am curious if you find these explanations satisfactory. We are very slow in preparing a number of technical documents for you for model reviews. We still hope you will be able to find some time to review our credit models (for our London credit trading) and VaR and option pricing related models. Also, please check your invoices. I still think we owe you money. Vince Darrell Duffie <duffie@stanford.edu< on 03/28/2001 08:07:38 AM To: Vince J Kaminski <Vince.J.Kaminski@enron.com< cc: Subject: Re: Enron default swaps Vince: According to a Bank of America publication, your (Enron) default swap spreads are consistently trading about 80 basis points wider than your asset swaps. Any idea of what is going on here? Thanks for any guidance, Darrell _____________________________________________ Darrell Duffie mail GSB Stanford CA 94305-5015 USA phone 650 723 1976 fax 650 725 7979 email duffie@stanford.edu web http://www.stanford.edu/~duffie/ _____________________________________________
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