|
|
Enron Mail |
We have created two new graphs that will be published daily along with the
DPR. For each business unit or commodity group in the DPR the graphs show the VaR compared to its limit. When VaR is under the limit (as in the example on the right), it appears green, and the unused portion of the limit appears yellow, which together add up to the limit amount. When VaR exceeds the limit (as on the left), the limit is represented in red, and the excess is shown as a red box outlined in black. One graph shows usage in dollar terms and the other as a percentage of the individual limits. We should be able to publish this graph to the web report viewer as soon as the web masters have completed the set up. Meanwhile, we will e-mail these graphs to you every day after the DPR is finalized. Today's are attached below. Please launch the Excel file instead of using the Lotus Notes viewer. Over the past several months we have been putting together a database to standardize and capture the information that flows to the DPR (it is very much like the database we created for EOL to report numbers). With it we can perform a variety of analyses (correlations between books, back-testing, estimating sensitivities to risk factors, P&L decomposition and attribution, etc.). We are nearly finished with its construction, and we hope to provide you superior analytics and reports in the future. Next week we hope to publish two new graphs: for each business unit in the DPR one will have 30 day rolling and 5 day rolling ROVARs (average P&L divided by average VaR) and the other will have 30 day rolling and 5 day rolling curve shift Sharpe ratios (average delta - gamma P&L divided by its standard deviation) . We hope you find these useful. Regards, Eugenio Perez Risk Analytics Energy Operations
|