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Enron Mail |
Sanjeev,
We have to seriously rethink these sigma factors. Since our system only has a product specific sigma, if we try to calculate a 90 day sigma factor we will see significant results which will not represent reality. For example, if you take the 1 day sigma factor for West Power (18.97) over a 90 day period you will get results that are unreasonable for any short position. If we sell power at $40 and the 90 day sigma factor is $175, you will get unreasonable results. We need to think how we can build this given the limitations in the current EOL system. For test tomorrow, I have recommended we use the existing 1 day sigma factors. Let me know when you want to discuss. Bill -----Original Message----- From: Meredith, Kevin Sent: Wednesday, February 06, 2002 4:30 PM To: Bradford, William S. Cc: Forster, David; Denny, Jennifer Subject: Sigma Factors In the attached document, you will find the product types to be used and their associated sigma factors. Kevin Meredith EnronOnline (713) 853-9555
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