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Date: Wed, 2 May 2001 06:50:00 -0700 (PDT)
From: iris.mack@enron.com
To: ben.parsons@enron.com, tomas.valnek@enron.com, scott.salmon@enron.com, 
	george.albanis@enron.com, joe.dance@enron.com, 
	mike.mumford@enron.com, nigel.price@enron.com, 
	markus.fiala@enron.com, bryan.seyfried@enron.com, 
	tani.nath@enron.com, viacheslav.danilov@enron.com, 
	eric.kirkpatrick@enron.com, craig.chaney@enron.com, 
	kim.detiveaux@enron.com
Subject: RE: Enron Credit Modeling Discussions
Cc: amitava.dhar@enron.com, vince.kaminski@enron.com, 
	vasant.shanbhogue@enron.com
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Hi again,

 Some of you have been kind enough to supply me with information that can b=
e=20
used for the strategic plan (I am writing for Duffie).

 To assist you in gathering further information, it was suggested that I=20
forward a preliminary outline of this strategic plan to your attention.=20


Thanks in advance for your assistance,
Iris





Table of Contents

Executive Summary=20
Highlights
=20
Introduction=20
What is Enron Credit?=20
What is the business plan?=20
What are the products planned?=20
Current status: what we currently trade, how we price.=20
What new models we need to achieve goals.=20
What attempts are being made internally and what external commercial source=
s=20
are available.=20

SWOT Analysis=20
Strengths=20
Weakness=20
Opportunities=20
Threats=20

Pricing Approach=20
A diagram illustrating how various models are tied together for the overall=
=20
objective of coming up with final CDS and DBS pricing.=20
Brief description of each model shown in the diagram.=20

Public Firm versus Private Firm=20
What we have as first cut for modeling primarily public firms.=20
Our understanding on public versus private firms=01, credit risk=20
characteristics, data availability and possible modeling approaches.=20
Our proposed approach/plan towards development of private firm model,=20
including comparative analysis, model development, etc..

Portfolio Level Business Feasibility Analysis=20
Accounting Breakeven Analysis=20
Portfolio Theory=20

Alternative (Short term) Measures=20
KMV=01, Private Firm  Model=20
Moody=01,s RiskCalc Model for Private Firms=20
Comparison of KMV vs Moody=01,s Private Firm model =20

Future Strategy=20
Development of private firm pricing models (short- and long- tenor models0=
=20
Completion of Parent/Subsidiary Model =20
Risk Management Model for ECT Business=20

References