Message-ID: <9968017.1075856449677.JavaMail.evans@thyme> Date: Tue, 6 Mar 2001 01:51:00 -0800 (PST) From: vince.kaminski@enron.com To: vkaminski@aol.com Subject: Re: "analytical" var implementation in RisktRAC Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: vkaminski@aol.com X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_3\Notes Folders\Sent X-Origin: Kaminski-V X-FileName: vkamins.nsf ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 03/06/2001 09:52 AM --------------------------- Tanya Tamarchenko 02/28/2001 01:17 PM To: Wenyao Jia/HOU/ECT, Debbie R Brackett/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT Subject: Re: "analytical" var implementation in RisktRAC Debbie, I am forwarding to you a 2 page document describing implementation of "analytical" VAR in RisktRAC. Here is why this effort is very important: 1. We need to calculate VAR for other percentile but 5 (1% or even 0.2% as mentioned by Rick Buy) and our simulation model can not handle required number of simulations; 2. We need to present additional risk measures (such as Mean Tail Loss) to the Board. The analytical approach is implemented in a spreadsheet and fully tested already so there will be no problems with the algorithm itself. We need to get together and discuss IT implementation. What do you think? Tanya