Subject: re : enron credit modeling discussions
hi again ,
some of you have been kind enough to supply me with information that can be used for the strategic plan ( i am writing for duffie ) .
to assist you in gathering further information , it was suggested that i forward a preliminary outline of this strategic plan to your attention .
thanks in advance for your assistance ,
iris
table of contents
executive summary
highlights
introduction
what is enron credit ?
what is the business plan ?
what are the products planned ?
current status : what we currently trade , how we price .
what new models we need to achieve goals .
what attempts are being made internally and what external commercial sources are available .
swot analysis
strengths
weakness
opportunities
threats
pricing approach
a diagram illustrating how various models are tied together for the overall objective of coming up with final cds and dbs pricing .
brief description of each model shown in the diagram .
public firm versus private firm
what we have as first cut for modeling primarily public firms .
our understanding on public versus private firms ' credit risk characteristics , data availability and possible modeling approaches .
our proposed approach / plan towards development of private firm model , including comparative analysis , model development , etc . .
portfolio level business feasibility analysis
accounting breakeven analysis
portfolio theory
alternative ( short term ) measures
kmv ' private firm model
moody ' s riskcalc model for private firms
comparison of kmv vs moody ' s private firm model
future strategy
development of private firm pricing models ( short - and long - tenor modelso
completion of parent / subsidiary model
risk management model for ect business
references