Message-ID: <19230288.1075840796325.JavaMail.evans@thyme> Date: Tue, 4 Dec 2001 08:39:57 -0800 (PST) From: j.kaminski@enron.com To: vasant.shanbhogue@enron.com, rakesh.bharati@enron.com, tanya.tamarchenko@enron.com, maureen.raymond@enron.com, jaesoo.lew@enron.com Subject: FW: Summary of meeting Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Kaminski, Vince J X-To: Shanbhogue, Vasant , Bharati, Rakesh , Tamarchenko, Tanya , Raymond, Maureen , Lew, Jaesoo X-cc: X-bcc: X-Folder: \vkamins\Sent Items X-Origin: KAMINSKI-V X-FileName: vincent kaminski 1-30-02.pst -----Original Message----- From: Desai, Jayshree Sent: Tuesday, December 04, 2001 10:31 AM To: Kaminski, Vince J Cc: Wadlington, Mark Subject: Summary of meeting Hello Vince, I thought that I would take the liberty to summarize our request after our meeting this morning: Volatilities per commodity Electricity Natural Gas Crude Oil (strip proxy?) Aluminum (strip proxy?) Copper (stip proxy?) Fixed Income (US 10 year treasuries as a proxy?) Equities (S&P 500 as a proxy?) Currencies ($, yen or DM as a proxy) Cross correlation matrix for each commodity with every other commodity Correlation of power and gas volatility to Enron's trading earnings Comparable analysis of Enron ROVAR to other trading organizations (e.g. banks, hedge funds, etc..) Analysis of amount of economic capital versus cash in order to support a certain VAR If there is anything that we can do in order to help with the request, please let me know. Again thank you very much for all of your help. Regards, Jayshree Desai x3-3290 ps Mark and I enjoyed the opportunity to pick your brains.