Message-ID: <21122925.1075856558646.JavaMail.evans@thyme> Date: Wed, 26 Jul 2000 03:12:00 -0700 (PDT) From: vince.kaminski@enron.com To: cantekin.dincerler@enron.com Subject: Re: Cc: vince.kaminski@enron.com, ted.murphy@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: vince.kaminski@enron.com, ted.murphy@enron.com X-From: Vince J Kaminski X-To: Cantekin Dincerler X-cc: Vince J Kaminski, Ted Murphy X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_4\Notes Folders\'sent mail X-Origin: Kaminski-V X-FileName: vkamins.nsf Cantekin, Can you figure out the reason for cocoa beans VaR fluctuations? The same is true of aluminum. I assume this is the position change. Vince Cantekin Dincerler 07/26/2000 09:28 AM To: Anjam Ahmad/LON/ECT@ECT, Kirstee Hewitt/LON/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT Subject: Anjam and Kirstee, As I have suspected the position as of 6/30 vs 7/19 makes the difference. The first table first column is my VAR number with 6/30 position and gold&silver prices, the second column is your VAR with 7/19 position and dummy gold&silver prices. The second table first column is my VAR with 7/19 position and 6/30 gold&silver prices, the second column is as before. I would ask you to plug the gold and silver prices and see what kind of numbers you get in order to verify we are on the same page. Please refer to MODELVAR2000.xls that I have sent you for gold & silver prices and volatilities. Thank you, Cantekin TABLE 1 TABLE 2