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Enron Mail |
Frank,
regarding simulating power prices in VAR we might discuss the following items and show some results: 1. Clustering for power: - clustering based on historical prices and correlations from them; - geographical clustering; - flexibility in choosing "core curves" (based on position size); 2. Jump-diffusion process for intramonth and prompt month: - parameter estimation from historical data (do we want to use it?) - working out parameters (jumps frequency, jump size) as stress scenarios; 3. Correlations within a cluster and across clusters. 4. Changing correlations estimations (using fixed contact' time series). 5. Joint estimation of factors for selected regions. Let me know what you think should be in the agenda for this meeting. Regards, Tanya From: Frank Hayden/ENRON@enronXgate on 04/18/2001 03:43 PM To: Tanya Tamarchenko/HOU/ECT@ECT cc: Subject: FW: Mtg. Scheduled If you want, I welcome your help in putting together an agenda. Frank -----Original Message----- From: Black, Tamara Jae Sent: Wednesday, April 18, 2001 3:32 PM To: Presto, Kevin; Davis, Mark Dana; Sturm, Fletcher; Herndon, Rogers; Gilbert-Smith, Doug; White, Stacey; Kaminski, Vince; Andrews, Naveen; Belden, Tim; Gorny, Vladimir; Davenport, Lacrecia Cc: Hayden, Frank Subject: Mtg. Scheduled Please mark your calendar for a meeting with: Frank Hayden Reg. Value @ Risk April 26th 3 - 4pm rm 3125b Thanks Tjae Black x35800
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