Subject: interview - credit derivatives
dear vince :
thank you for the invitation yesterday . it was a pleasure to meet you all and learn more about the group , it ' s structure and to some extent what you are involved in . please extend my thanks to all of them .
i am particularly interested in the credit swap trading platform that enron has recently started . such a platform will provide unique visibility into the credit markets . as you suggested i tried to learn more about this from tanya . i would like to learn more and if possible meet other people more directly linked to the effort .
just simple instruments like credit swaps will require serious modelling capability for the pricing and the hedging of these apparently simple intruments . the market visibility i mention above can be explored through credit derivatives trading successfully if enron possesses superior ( vis a vis morgan stanley , salomon smith barney , chase manhatan , etc . ) modelling technology in credit derivatives . i can and would like to consider the possibility of doing this for enron . i would like to help develop and participate in putting together that business .
as i mentioned to you i have done some work in credit derivatives and am deeply familiar with virtually all the work of the principal academics in credit derivatives namely : duffie , lando , tuffano , duffee , das , lelland , etc . i have read carefully most of their work ( published as well as working papers ) on the subject to date .
i look forward to hearing from you .
best regards
joao