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Enron Mail |
Hello Andreas,
My title is Managing Director, Research, Enron North America Enron Corp. 1400 Smith Room EB1962 Houston, TX 77002 (713) 853 3848 (713) 646 2503 (fax) Bullet points: 1. The challenge of modeling price dynamics in the energy markets. - seasonality - fat tails - jumps - mean (or floor) reversion 2. Price volatility in the energy markets: definition and estimation 3. Adapting value-at-risk for the energy markets: - combination of physical and financial contracts - correct representation of price dynamics and inter-market price relationships - capturing complexity of energy contracts 4. Historical vs. Monte Carlo simulation vs. scenario analysis. Pros and cons of different approaches. 5. Regulatory uncertainty and value-at-risk Feel free to edit the bullet points if you see a typo (no spell checker on my laptop for AOL). Vince
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