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Enron Mail |
Vlady..
this was the list John referenced the other day. Ted ---------------------- Forwarded by Ted Murphy/HOU/ECT on 08/09/2000 02:30 PM --------------------------- From: Ted Murphy 06/28/2000 07:45 AM To: Rick Buy cc: Subject: VAR Priorities Rick, This is my initial attempt to summarize our meeting with John. The next steps would be to solicit feedback from other interested parties and scope the resources and responsibilities. Ted Rick Buy, John Lavorato and I met to discuss priorities as it relates to the calculation of VAR. We are making the following recommendations 1) Inclusion of monthly index positions into VAR calculations as the indicies set in North American Natural Gas 2) Development of a methodology to re-run correlations (factor loadings) including criteria, responsibilities and acceptance/rejection criteria 3) Development of process by which to analyze the output of factor loading process. Database to store output and management reports. 4) Finalize debate on the calculation of Forward/Forward volatility 5) Scope a project to analyze the possibility of calculating hourly volatility for power. It was further recommended that we continue to not include unpriced index positions in VAR calculation.
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