enron credit model docs comparative model study sent professor duffie stanford hi ben think read papers used comparative model study sent professor duffie stanford documents listed please let know omitted however get impression begging papers read try transform notes draft professor duffie thanks iris list papers comparative model study 1 actively managing corporate credit risk new methodologies instruments non financial firms r buy v kaminski k pinnamaneni v shanbhogue chapter risk book entitled credit derivatives application risk management investment portfolio optimisation 2 neural network placement model george albanis enroncredit 12 22 00 3 pricing parent companies subsidiaries model description data requirements ben parsons tomas valnek research group 4 survey contingent claims approaches risky debt valuation j bohn www kmv com products privatefirm html 5 kmv edf credit measure probabilities default sellers vasicek levinson www kmv com products privatefirm html 6 riskcalc private companies moody default model moody investor service global credit research 7 discussion document asset swap model ben parsons research group 4 20 01 8 asset swap calculator detailed functional implementation specification version 1 0 ben parsons research group 9 discussion document live libor bootstrapping model ben parsons research group 4 20 01 10 modelling behind fair market curves including country industry offsets nigel price enron credit trading group 11 pricing portfolios default swaps synthetic cbos moody versus full monte carlo nigel price enron credit trading group 12 placement model vl 0 discussion document ben parsons research group 2000 13 credit pricing methodology enroncredit com ben parsons research group 14 correlation critical measure calculating profit loss synthetic credit portfolios katherine siig enron credit group 15 discussion document var model enron credit ben parsons research group 1 3 01 16 methodology implement approximate var model credit trading portfolio kirstee hewitt research group