Subject: mg metals : quant analysis & risk
hi eric ,
thanks for getting back to me - i believe there are a number of issues to
address to ensure that the integration goes smoothly from a risk management
and quantitative analysis perspective , and i have put together a ( by no means
exhaustive ) list : -
i ) seamless transfer of front and middle office systems from an exotic
options linking perspective ( e . g . their spreadsheets link to different option
pricing add - ins )
ii ) development of volatility curves and factor analysis to ensure that we
can capture metals risk in our var system ( we will require historical data
for this ) .
iii ) ensure that mg staff on quant and risk side become familiar with our
methods and systems and vice versa
these tasks will involve a significant degree of cross - communication with
relevant contacts within mg metals , and so i look forward to starting on the
process as soon as possible - i hope to play a full part from a quantitative
research and risk management perspective to ensure that everything goes
smoothly in this exciting new development , so please do not hesitate to
involve me .
best regards ,
anjam ahmad
research
x 35383
enron europe
from : anjam ahmad 15 / 06 / 2000 16 : 18
to : eric gadd / lon / ect @ ect
cc : dale surbey / lon / ect @ ect , vince j kaminski / hou / ect @ ect
subject : quant analysis & structuring for metals business
dear eric ,
i understand from dale that you are co - ordinating the integration of mg
metals into enron europe . dale and i thought it would be a good idea to
ensure that we are fully prepared from a quantitative research and
structuring perspective so that we can " hit the ground running " when they do
arrive . i would be grateful if you could provide a contact person in mg
metals that may look after this area , or someone who may find it useful to
discuss and identify their possible future modelling requirements .
thanks & regards ,
anjam ahmad
research
x 35383