Message-ID: <29935344.1075856603606.JavaMail.evans@thyme>
Date: Thu, 22 Feb 2001 10:54:00 -0800 (PST)
From: michael.tribolet@enron.com
To: rabi.de@enron.com, martin.o'leary@enron.com, connie.estrems@enron.com, 
	william.bradford@enron.com
Subject: RE: Credit Reserve Simulation for EES
Cc: tanya.tamarchenko@enron.com, amitava.dhar@enron.com, 
	vince.kaminski@enron.com, seksan.kiatsupaibul@enron.com, 
	paulo.issler@enron.com
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
Bcc: tanya.tamarchenko@enron.com, amitava.dhar@enron.com, 
	vince.kaminski@enron.com, seksan.kiatsupaibul@enron.com, 
	paulo.issler@enron.com
X-From: Michael Tribolet
X-To: Rabi De, Martin O'Leary, Connie Estrems, William S Bradford
X-cc: Tanya Tamarchenko, Amitava Dhar, Vince J Kaminski, Seksan Kiatsupaibul, Paulo Issler
X-bcc: 
X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Ees
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

One the outputs would be expected loss for each of the trials (flat file) and 
a graph depicting the distribution (example below from an early Owens 
Illinois model) 

















 -----Original Message-----
From:  De, Rabi  
Sent: Thursday, February 22, 2001 3:20 PM
To: O'Leary, Martin; Tribolet, Michael; Estrems, Connie; Bradford, William
Cc: Tamarchenko, Tanya; Dhar, Amitava; Kaminski, Vince; Kiatsupaibul, Seksan; 
Issler, Paulo
Subject: Credit Reserve Simulation for EES

 Amitava and Seksan have identified the source of the discrepancy between the 
option prices calculated by the credit-reserve model and the stand-alone 
spreadsheet model used in deal pricing.  We expect to put a fix in place by 
tomorrow.  

In response to your desire to see more output from credit reserve simulation, 
I have identified a list of possible items that may be of interest to you for 
credit pricing. 

1.  Potential Exposure across time

2.  For each simulated credit event, display:
default time
exposure -- is deal-by-deal breakdown of any interest?
commodity forward curves (or spot price ?) at default time

I would appreciate it if you could let me know your wish list at your 
earliest.
Thanks,
Rabi De
5-4593