Message-ID: <18942777.1075856529574.JavaMail.evans@thyme> Date: Fri, 22 Dec 2000 09:58:00 -0800 (PST) From: vince.kaminski@enron.com To: tanya.tamarchenko@enron.com Subject: Re: Suggestion: implementing VAR based on non-normal log-returns simulations Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: Tanya Tamarchenko X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_4\Notes Folders\'sent mail X-Origin: Kaminski-V X-FileName: vkamins.nsf Tanya, I could not locate the file. Vince Tanya Tamarchenko 12/07/2000 01:17 PM To: Vince J Kaminski/HOU/ECT@ECT, Rabi De/NA/Enron@ENRON, Jaesoo Lew/NA/Enron@ENRON cc: Subject: Re: Suggestion: implementing VAR based on non-normal log-returns simulations Everybody, we were talking for a while about using non-normal distributions in the Monte-Carlo simulations in our VAR model. I put together some suggestion regarding this. The text is under O:\_Dropbox\Tanya\non_normal_logs.doc Look through this 3 page document, and let me know what you think, please. Tanya