text stringlengths 1 4.46k | employee_id stringclasses 45
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|---|---|
OK Vince Kaminski | dev03 |
Shane, Two years is eternity at Enron. | dev03 |
Vince | dev03 |
Shirley, Please, send our logo to Debra. | dev03 |
Vince | dev03 |
Sorry if you get this impression. | dev03 |
The real reason is that I treat the lunch meetings as an opportunity to get updates on things that are going on at more remote locations. | dev03 |
I interact with each of the members of your group daily and I know what's going on. | dev03 |
I agree with you, however, that the lunch meetings are not exclusively for my benefit, but also for the benefit of the other members of the group. | dev03 |
I shall make sure that you have the opportunity to communicate your contribution to the company. | dev03 |
Vince | dev03 |
Eric, Thank you for your message. | dev03 |
The only other message in my mailbox from you is dated 6/11/2000 and contains a reference to a resume I cannot locate. | dev03 |
I checked the log of all the messages and could not find any other communication from you. | dev03 |
Please, send a message with a resume again and we shall go from there. | dev03 |
Vince Kaminski | dev03 |
I will make sure that you have the opportunity to present your contributions. | dev03 |
It makes also sense to ask Paulo every time to say a few words. | dev03 |
Vince | dev03 |
Shane, Fine with me. | dev03 |
Vince | dev03 |
Amy, Thanks. | dev03 |
Steve will contact you directly to give you all the details. | dev03 |
Vince | dev03 |
Strickland Chris 227,Black Prince Ave, Coventry UK | dev03 |
Eric, I have forwarded your resume to a number of units of Enron. | dev03 |
My group hires candidates with advanced degrees in science and mathematics. | dev03 |
Vince Kaminski | dev03 |
I am forwarding a resume of one candidate who is very persistent and quite aggressive. | dev03 |
Please, take a look at him. | dev03 |
Vince | dev03 |
FYI Vince | dev03 |
Elena, FYI Vince | dev03 |
Celeste, Thanks. | dev03 |
Vince | dev03 |
Please, take a look at the attached newsletter. | dev03 |
Vince | dev03 |
Mark, Please, tale a look at the attached newsletter. | dev03 |
An interesting story on gaming Cal PX. | dev03 |
Let me know if you have problems opening the document. | dev03 |
Vince | dev03 |
Original version. | dev03 |
Vince | dev03 |
John, I think the crucial distinction is between recognition of risks and elimination of risks through hedges (as correctly pointed out in other messages). | dev03 |
Being aware of risk does not mean that one does not want to be compensated for it. | dev03 |
Now a few more detailed comments. | dev03 |
1. | dev03 |
I think that illiquidity discount represents double counting when combined with a project finance discount rate. | dev03 |
Illiquidity discount, in my view, should be applied to financial options that trade in a market without sufficient depth. | dev03 |
One should apply a haircut if liquidating a position takes a long time. | dev03 |
The approach used in valuation of the Turkish transaction is the same as approach used in valuation of investments in physical assets, which are by definition illiquid. | dev03 |
This illiquidity is recognized through other aspects of valuation technology used in RAROC. | dev03 |
If we apply an illiquidity correction in this case, we should be consistent and use this approach across the board for all project finance type cases (not that I recommend this course of action). | dev03 |
2. | dev03 |
Valuation of an unheadgable options. | dev03 |
Let's look at it from the position of a seller of the option. | dev03 |
He cannot hedge a short call or put and Black-Scholes valuation becomes the floor for the valuation: the seller has to be compensated for taking a price risk (as opposed to taking a vol risk when he hedges). | dev03 |
The issue of the compensation he will require becomes fuzzy. | dev03 |
The option really becomes an insurance type product and pricing depends on two factors: 1. | dev03 |
risk preference 2. | dev03 |
existing portfolio positions Risk preference. | dev03 |
Insurance companies typically require a payment that consists of two parts: expected loss + unexpected loss. | dev03 |
The latter is typically defined as 1 to 2 standard deviations. | dev03 |
The number of standard deviations depends on risk appetite and the ability to absorb the loss. | dev03 |
I admit that it is a bit fuzzy, but this is the way the world works. | dev03 |
We looked into insurance pricing at the request of Jere Overdyke. | dev03 |
You can talk to Vasant Shanbhogue to find out more about it. | dev03 |
Existing portfolio positions. | dev03 |
An additional contract may increase or decrease the risk of the overall portfolio. | dev03 |
I would expect the deal to provide some risk diversification, but it does not look to me as a deal that reduces risk (given all our positions in this region). | dev03 |
What are the practical implications? | dev03 |
Pricing depends on risk appetite (the utility function of a decision maker in technical jargon) and becomes to some degree arbitrary. | dev03 |
If we are short an option embedded in a deal and the option cannot be hedged, we should subtract from the value of the contract the value of the option (that is greater than the Black - Scholes value). | dev03 |
If we don't price this option explicitly, the valuation of a contract will be based on a discount rate with a risk premium. | dev03 |
In the case of an option buyer, the situation is reversed. | dev03 |
If he cannot hedge, he should recognize the risk of losing the value of his investment and apply a discount to the value of the option. | dev03 |
How big is the discount? | dev03 |
See the comments above. | dev03 |
In the special case, where hedging is possible and the Black-Scholes-Merton paradigm applies, both values will become equal (ignoring transaction costs). | dev03 |
The values of an option form the point of view of a seller and a buyer will converge. | dev03 |
3. | dev03 |
What happens in case we use simulation technology? | dev03 |
We can discount at the risk free rate along each scenario (each scenario will recognize the downside and/or upside at different points in time in different states of the world). | dev03 |
If we run a sufficient number of scenarios, we shall get a distribution of NPV as of today. | dev03 |
Knowing this distribution means that we can estimate risk, but in most cases we are still holding it. | dev03 |
The expected value should be, therefore, adjusted for risk. | dev03 |
This is equivalent to using a discount rate with a risk premium. | dev03 |
I hope this helps. | dev03 |
Please, call me with additional questions. | dev03 |
Sorry for a delay in responding to this question. | dev03 |
I ran my response by Stinson and Vasant, to make sure we all agree. | dev03 |
It's a very complicated technical problem and the financial theory does not have good answers. | dev03 |
Vince | dev03 |
We may become famous in Japan. | dev03 |
Please, see the message below. | dev03 |
Vince | dev03 |
Hi Jana, I would like to invite you to visit us in the Woodlands one weekend in July. | dev03 |
My wife wants to make the house presentable after her long absence and the months of my neglect. | dev03 |
I think I need the coming long weekend to clean up all the papers and we shall be ready. | dev03 |
What about the following weekend or the next one? | dev03 |
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