Message-ID: <3505066.1075857578016.JavaMail.evans@thyme>
Date: Sun, 23 Jul 2000 04:40:00 -0700 (PDT)
From: john.arnold@enron.com
To: vladimir.gorny@enron.com
Subject: Re: VaR Methodology Change
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
X-From: John Arnold
X-To: Vladimir Gorny
X-cc: 
X-bcc: 
X-Folder: \John_Arnold_Dec2000\Notes Folders\All documents
X-Origin: Arnold-J
X-FileName: Jarnold.nsf

Vlady:
The plan looks good.  Can you please attach a time schedule to the different 
steps and send it back.
Thanks,
John


   
	
	
	From:  Vladimir Gorny                           07/17/2000 07:30 PM
	

To: John J Lavorato/Corp/Enron@Enron, Ted Murphy/HOU/ECT@ECT, Vince J 
Kaminski/HOU/ECT@ECT, John Arnold/HOU/ECT@ECT
cc:  
Subject: VaR Methodology Change

Gentlemen,

Below is a plan of action for moving along with the VaR methodology change 
related to forward-forward volatility:

1. Finalize the methodology proposed (Research/Market Risk)

 - determine the time period used to calculated forward-forward vols vs. 
correlations (20 days vs. 60 days)
 - stabilize the calculation for curves and time periods where the curve does 
not change based on historical prices, implying volatility of 0%

2. Get approval for the methodology change from Rick Buy (see draft of the 
memo attached) - John Lavorato and John Sherriff



3. Develop and implement the new methodology in a stage environment 
(Research/IT)

4. Test the new methodology (Market Risk, Traders)

5. Migrate into production (Research/IT)

Please let me know if this is reasonable and meets everyone's expectations. 
Vlady.