Message-ID: <867692.1075856472638.JavaMail.evans@thyme> Date: Fri, 10 Nov 2000 06:11:00 -0800 (PST) From: vince.kaminski@enron.com To: bryan.seyfried@enron.com Subject: Re: VaR for EnronCredit.com Cc: vince.kaminski@enron.com, steven.leppard@enron.com, rick.buy@enron.com, ted.murphy@enron.com, tanya.tamarchenko@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: vince.kaminski@enron.com, steven.leppard@enron.com, rick.buy@enron.com, ted.murphy@enron.com, tanya.tamarchenko@enron.com X-From: Vince J Kaminski X-To: Bryan Seyfried X-cc: Vince J Kaminski, Steven Leppard, Rick Buy, Ted Murphy, Tanya Tamarchenko X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_3\Notes Folders\Sent X-Origin: Kaminski-V X-FileName: vkamins.nsf Bryan, We shall be glad to take a look at the system. To sign - off on the vendor provided system we have to look under the hood and review the algorithms. I hope the vendor will have no objections to it. Another critical issue we have to solve on a short notice is to integrate the system you want to buy with the rest of VaR/credit systems. We shall stand by to help in this endeavor. An alternative approach is to evaluate to what extent your positions can be rolled into the existing risk systems. Vince Bryan Seyfried 11/10/2000 03:20 AM To: Vince J Kaminski/HOU/ECT@ECT, Steven Leppard/LON/ECT@ECT cc: Ted Murphy/HOU/ECT@ECT Subject: VaR for EnronCredit.com Vince/Steve -- we are going to the Board in December to ask for formal limits. As you know one of the key limits at the Board level is Value at Risk. To that end, it is imperative that you are comfortable with our approach for calculating VaR. We have implemented a third party risk system which holds all of our positions and are in the process of putting the debt positions in. The system has a VaR engine which is being demo'd by the vendor today. Ben and Kirstee are attending the demo and if they find the technology acceptable, I propose moving forward with implemantion of the module. Pls. let me know if this sounds reasonable and how you would envision implementing. thanks