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Enron Mail |
The VaR calculation should now be accurate although we did experience some
problems during the transition of the reporting. We did not receive access to the necessary systems before the transition date. After reviewing the existing East Power hierarchy within RisktRAC, we determined that the portfolios were not properly defined to generate an accurate total VaR number. It was then that RAC agreed there were known problems they had been trying to resolve for some time. We defined the necessary changes and submitted our requests to Risk Analysis and Reporting. The fixes appear to have corrected those problems, and everything is in place on our side to provide the requested reports. As needed in the future we may look to RAC to answer questions or send additional change requests to RA&R. The transition would have been smoother if we were granted access to the appropriate tools at an earlier date and made aware of any known problems at that time. Moving VaR reporting to our group has been and should continue to be a beneficial change because it is a direct product of the information we calculate on a daily basis. Jenny. Enron North America Corp. From: Kevin M Presto 01/19/2001 10:16 AM To: Sally Beck/HOU/ECT@ECT cc: Stacey W White/HOU/ECT@ECT, Jenny Latham/HOU/ECT@ECT, Vladimir Gorny/HOU/ECT@ECT Subject: VAR Calcs. Could you please ensure that sufficient resources are dedicated to fixing the current VAR calculation problem as soon as possible. Jenny, Stacey, and Vlady are spending a significant amount of time trying to repair the VAR calc model, which is outside the scope of what we originally discussed in our meeting several weeks ago. Your attention to get quick resolution to this issue would be greatly appreciated. Thanks Sally.
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