Subject: re : enron credit model docs for the comparative model study - to be
sent to professor duffie @ stanford
hi ben ,
i think i have read all the papers that are to be used in the comparative
model study to be sent to professor duffie at stanford .
these documents are all listed below . please let me know if i have omitted
any ( however , don ' t get the impression that i am begging for more papers to
read ) .
now i will try to transform my notes into a draft for professor duffie .
thanks ,
iris
list of papers for comparative model study
1 . actively managing corporate credit risk : new methodologies and
instruments for non - financial firms
by r . buy , v . kaminski , k . pinnamaneni & v . shanbhogue
chapter in a risk book entitled credit derivatives : application for risk
management , investment and portfolio optimisation
2 . neural network placement model
by george albanis , enroncredit ( 12 / 22 / 00 )
3 . pricing parent companies and their subsidiaries : model description and
data requirements
by ben parsons and tomas valnek , research group
4 . a survey of contingent - claims approaches to risky debt valuation
by j . bohn
www . kmv . com / products / privatefirm . html
5 . the kmv edf credit measure and probabilities of default
by m . sellers , o . vasicek & a . levinson
www . kmv . com / products / privatefirm . html
6 . riskcalc for private companies : moody ' s default model
moody ' s investor service : global credit research
7 . discussion document : asset swap model
by ben parsons , research group ( 4 / 20 / 01 )
8 . asset swap calculator : detailed functional implementation specification
( version 1 . 0 )
by ben parsons , research group
9 . discussion document : live libor bootstrapping model
by ben parsons , research group ( 4 / 20 / 01 )
10 . the modelling behind the fair market curves : including country and
industry offsets
by nigel m . price , enron credit trading group
11 . pricing portfolios of default swaps : synthetic cbos - moody ' s versus
the full monte ( carlo )
by nigel m . price , enron credit trading group
12 . placement model vl . 0 : discussion document
by ben parsons , research group , 2000
13 . credit pricing methodology - enroncredit . com
by ben parsons , research group
14 . correlation : critical measure for calculating profit and loss on
synthetic credit portfolios
by katherine siig , enron credit group
15 . discussion document : var model for enron credit
by ben parsons , research group , ( 1 / 3 / 01 )
16 . methodology to implement approximate var model for the credit trading
portfolio
by kirstee hewitt , research group