From: ben.parsons@enron.com
To: iris.mack@enron.com
Cc: tomas.valnek@enron.com, amitava.dhar@enron.com, mike.mumford@enron.com, vasant.shanbhogue@enron.com, vince.kaminski@enron.com
Date: 2001-04-18 08:29:00+00:00
Subject: RE: FW: Parent - Subsidary Model

Hi Iris

We started off with about 105 companies, which were Enron Europe's UK power 
and gas desk counterparties. I'm not sure where you got the figure of 500 
from - maybe this is the entire Enron Europe counterparty list, which 
constitutes the next major effort for end-July.

From this list of 104, only the 72 in the spreadsheet had information in 
Amadeus. The other firms had no information available, most likely because 
they were too new.

Ben


From: Iris Mack/ENRON@enronXgate on 17/04/2001 19:37 CDT
To: Ben Parsons/LON/ECT@ECT
cc: Tomas Valnek/LON/ECT@ECT, Amitava Dhar/Corp/Enron@ENRON, Mike 
Mumford/LON/ECT@ECT, Vasant Shanbhogue/ENRON@enronXgate, Vince J 
Kaminski/HOU/ECT@ECT 

Subject: RE: FW: Parent - Subsidary Model

Hi again,

 Thanks for the financial data on Enron's European counterparties.

 It is my understanding that you started out with a list of 500 such 
counterparties.  However, your spreadsheet only contains information for 72 
of these European counterparties.

 Will you please tell me the logic behind the elimination of the 400+ other 
counterparties? 

Thanks so much,
Iris

 -----Original Message-----
From:  Parsons, Ben  
Sent: Tuesday, April 17, 2001 2:56 AM
To: Mack, Iris
Cc: Valnek, Tomas; Dhar, Amitava; Mumford, Mike
Subject: Re: FW: Parent - Subsidary Model

Hi Iris

The inputs and outputs generated by RiskCalc can be seen in the attached file:

 << File: Data for RiskCalc - 20010323_PD.csv >> 

We only looked at the 5-yr PD.

Inputs are in columns A-U. These are the inputs generated by Amadeus. You can 
run these inputs through the RiskCalc model over the web 
(http://www.moodysqra.com/privfirm) using the login: dupred, password: 
detective. This is our trial licence which lasts for about 2 more weeks (Mike 
Mumford will have more details about the current licence)

Tomas Valnek was getting the data from the Amadeus database, so I'll leave it 
to him to determine if Houston access is possible. In the meantime you can 
use the dataset attached for testing purposes.

Ben



From: Iris Mack/ENRON@enronXgate on 12/04/2001 17:58 CDT
To: Ben Parsons/LON/ECT@ECT
cc: Amitava Dhar/Corp/Enron@ENRON 

Subject: FW: Parent - Subsidary Model

Hi Ben,

 How are you?  Today we had a meeting with Craig Chaney and Jeff Kinneman to 
discuss the private firm model.

 They requested that I spend some time carefully analyzing the Moody's 
Riskcalc model.  I noticed that you also have been looking at RiskCalc - as 
indicated in your paper entitled "Pricing Parent Companies and their 
Subsidiaries:  Model Description and Data Requirements"

 Other than the example discussed in your paper, did generate any other test 
statistics, scores, etc.  

 Also, you stated that you used Amadeus database.  We are in the process of 
trying to obtain data from various data vendors - but that may take a while.  
In the mean time, may we have access to the Amadeus database or some sample 
dataset?

 
Thanks so much,
Iris



  

 -----Original Message-----
From:  Valnek, Tomas  
Sent: Tuesday, April 10, 2001 9:10 AM
To: Fiala, Markus; Seyfried, Bryan; Salmon, Scott; Kirkpatrick, Eric; 
Mumford, Mike; Fontaine, Jean-Sebastien; Brooks, Simon; Price, Nigel; 
Diprose, Robert; Rezaeian, Reza; Gordon, Mike; Lee, Derek; Hershkovitz, Ilan; 
Golden, Sally; Stephan, Nicholas; Albanis, George; Shanbhogue, Vasant; Mack, 
Iris
Cc: Parsons, Ben
Subject: Parent - Subsidary Model

Attached is a description of the parent-subsidiary model that Ben and I have 
been working on over the last few weeks.

Comments welcome!

TV




 << File: Pricing Parent Companies and their Subsidiaries Model Description 
and Data Requirements - 20010410.doc >>