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Enron Mail |
Barry,
Stinson forwarded your message to me. I am meeting Ted Murphy today and I shall bring it up with him. We have unit at Research (Tanya Tamarchenko, reporting to Grant Mason) who is responsible for V@R support. Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 06/29/2000 10:28 AM --------------------------- Stinson Gibner 06/29/2000 09:55 AM To: Vince J Kaminski/HOU/ECT@ECT cc: Subject: EBS VaR Transaction Policy FYI ---------------------- Forwarded by Stinson Gibner/HOU/ECT on 06/29/2000 09:54 AM --------------------------- Barry Pearce @ ENRON COMMUNICATIONS 06/29/2000 09:09 AM To: Stinson Gibner/HOU/ECT@ECT, Dale Surbey/LON/ECT@ECT, Ted Murphy/HOU/ECT@ECT cc: Lou Casari/Enron Communications@Enron Communications, John Echols/Enron Communications@Enron Communications, Jim Fallon/Enron Communications@Enron Communications Subject: EBS VaR Transaction Policy Hey you guys, We are trying to implement a 'VaR transaction' policy - and would like your opinion. This is going to be tough - because I'm not sure we have implemented a similiar policy across any of our other 'books' - that is - we looking to bring in all the accrual/operational assets as well as the MTM stuff (lambdas). To have a real-live 'configuration' of the system. If assets/routes/servers etc...are added - what is the impact on the 'value' of the system and what it's worth. John has attached a draft below - for your review and thoughts. I can see how this works in a trading environment - when you actually know the VaR of your whole trading portfolio. However - I've not seen this done with a mixture of MTM & accrual assets. Add the spice of a 'operational system' valuation - and this will be tough to quantify and model. Step 1 - configure system and value it Step 2 - calculate a VaR on this. We will need to do some work here! Step 3 - calculate the incremental VaR of new deals/amendements/reconfigs etc - tough.... See what you think? B. John Echols 06/28/00 05:41 PM To: Jim Fallon/Enron Communications@Enron Communications, Barry Pearce/Enron Communications@Enron Communications, Lou Casari/Enron Communications@Enron Communications cc: Subject: Policies Here is a first rough draft of a "value @ risk" transaction policy. I would like you to start looking at where we are going on the policy and get some early thinking going on limits for the V@R. For example, should we effectively shut down all server relocations without approval, or allow some level of MB of storage to be moved around or reconfigured? I need some commercial and industry realism for this. We may need Rick Paiste or your industry helpers (Marquardt, etc. to help us). Barry, Lou, I need your input.
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