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Enron Mail |
Steve,
Yes, I read it. I am going to talk about it with Ted Murphy and possibly Rick Buy. As you have correctly pointed out, the model validation issues cannot be handled internally by Research. The problem is that everybody is swamped right now with PRCs and end-of-year issues. I don't think we shall send our full VaR model under any circumstances. We can offer to sell a reduced version based on RiskMetrics. By the way, our meeting Tuesday will start at 11:00 a.m., Houston time. Vince Steven Leppard 12/18/2000 04:25 AM To: Vince J Kaminski/HOU/ECT@ECT cc: Shirley Crenshaw/HOU/ECT@ECT Subject: Re: EnergyDesk Hi Vince - did you read this email I sent you? We're waiting for some guidance! Shirley - is Vince around? Thanks, Steve ---------------------- Forwarded by Steven Leppard/LON/ECT on 18/12/2000 10:27 --------------------------- Steven Leppard 11/12/2000 09:59 To: Vince J Kaminski/HOU/ECT@ECT cc: David Port/Market Risk/Corp/Enron@ENRON, James New/LON/ECT@ECT, Suzanne Bain/LON/ECT@ECT, Sandip Joshi/LON/ECT@ECT Subject: Re: EnergyDesk Hi Vince James New from London Risk Mgt has asked me to sign off the computations in EnergyDesk.com for use in Oslo office's new system. I'm a little uncomfortable with this since: 1. Sign off of models is something that I've been brought up to consider to be the domain of RAC. They disagree in part (see below), which leads me to... 2. London Research is not the "owner" of Exotica, and we don't necessarily have the time/resource/expertise to audit Houston Research's code. Indeed, can Research group sign off their own efforts? By definition the originating group for a piece of code thinks it's OK, or they wouldn't have written it that way. 3. I'm concerned about Research group code being sold to external clients without Research involvement. (I received a query a couple of weeks ago from an EnergyDesk.com guy, Jan Lillehammer, who said he was planning to sell our VaR system, and asked if he could have a copy!) I've tried to emphasise that we support Exotica for internal purposes only, and that our entire setup presupposes the presence of resident quants on the trading floor to support the tools that Research write. Your advice/guidance would be appreciated. All the best, Steve ---------------------- Forwarded by Steven Leppard/LON/ECT on 11/12/2000 09:46 --------------------------- From: David Port @ ENRON 08/12/2000 19:54 To: James New/LON/ECT@ECT cc: Steven Leppard/LON/ECT@ECT, Suzanne Bain/LON/ECT@ECT, Sandip Joshi/LON/ECT@ECT Subject: Re: EnergyDesk James I called and left a voicemail but I thought for the benefit of the CC's on this, my view is that RAC have never been required to sign off on valuation methods. The standard models used at Enron, like SPRDOPT and other routines in Exotica.xls are written by Research and therefore I have always assumed endorsed by Research. Having said that I do believe firmly that all RAC - MRM folks should have a deep understanding of the way products are valued and be able to assess and challenge a method. I am also happy to provide assistance in the process of designing a method but I wouldn't want either of us to feel that RAC are in the way of progress by being embedded in a project plan. In this instance, given the appropriate documentation, I would imagine the time taken to assess the EnergyDesk methodology would be very short - what do you have that I could look at ? DP James New@ECT 12/08/2000 12:38 PM To: David Port/Market Risk/Corp/Enron@ENRON, Steven Leppard/LON/ECT@ECT cc: Suzanne Bain/LON/ECT@ECT, Sandip Joshi/LON/ECT@ECT Subject: EnergyDesk I would like to try to clear up a few things regarding the proposed implementation of EnergyDesk into Oslo. I thought that it was a requirement that all valuation engines (and any future changes to the valuation code) are required to be signed off by research and RAC before they can be used to value the firm's positions. If this is true then this is all I am looking to get onto the project plan the time estimates you need to complete your review process. If there is no requirement for RAC or research to sign off new or changed valuation engines then I will trouble you no further. Thanks James
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