Message-ID: <16214720.1075856642515.JavaMail.evans@thyme> Date: Mon, 31 Jul 2000 09:05:00 -0700 (PDT) From: vladimir.gorny@enron.com To: grant.masson@enron.com, vince.kaminski@enron.com, naveen.andrews@enron.com, pinnamaneni.krishnarao@enron.com, scott.stoness@enron.com, david.foti@enron.com, john.neslage@enron.com, minal.dalia@enron.com, andy.knight@enron.com Subject: Regulatory VaR Cc: shirley.crenshaw@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: shirley.crenshaw@enron.com X-From: Vladimir Gorny X-To: Grant Masson, Vince J Kaminski, Naveen Andrews, Pinnamaneni Krishnarao, Scott Stoness, David Foti, John Neslage, Minal Dalia, Andy Knight X-cc: Shirley Crenshaw X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Var X-Origin: Kaminski-V X-FileName: vkamins.nsf Tentative agenda for the Research Lunch meeting on Wednesday, August 2nd at 11:30 am: Objective: Develop a methodology and a model for estimating risks of the EES Regulatory portfolio. Discussion Items: 1. Elements of the Regulatory portfolio - Transmission and Distribution (T&D) Positions - Bundled Tariffs (full utility tariffs that are in place prior to deregulation) - Competitive Transition Charges (CTC) Positions - Diversification between the three risk elements 2. Risk drivers in each bucket (Scott Stoness of EES to provide more detail) - T&D: interest rates - Bundled Tariffs: regulatory decisions, power prices, interest rates, inflation - CTC: power prices, fuel prices, generation valuation, generation stack, regulatory decisions 3. Position aggregation parameters (Scott Stoness of EES to provide suggestions) - by NERC Region - by state - by utility - by utility tariff 4. Model environment - Excel - GRMS/RisktRAC - Other 5. VaR Parameters - correlations - factor loadings (1-factor model?) - other 6. EES specific issues - The size of CTC positions is impacted by the roll-off date, which is subject to change due to a number of factors (jump diffusion?) - T&D and Bundled Tariffs do not move daily, but rather once every 2-3 years (event driven?) Thanks, Vlady. PS: Shirley, could you please make the lunch arrangements accordingly.