Message-ID: <743393.1075857601217.JavaMail.evans@thyme>
Date: Mon, 10 Jul 2000 07:31:00 -0700 (PDT)
From: john.arnold@enron.com
To: vladimir.gorny@enron.com
Subject: Re: Forward-forward Vol
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
X-From: John Arnold
X-To: Vladimir Gorny
X-cc: 
X-bcc: 
X-Folder: \John_Arnold_Dec2000\Notes Folders\'sent mail
X-Origin: Arnold-J
X-FileName: Jarnold.nsf

I'm free from 4:00-5:00 today


   
	
	
	From:  Vladimir Gorny                           07/10/2000 02:14 PM
	

To: John Arnold/HOU/ECT@ECT
cc: Tanya Tamarchenko/HOU/ECT@ECT, Frank Hayden/Corp/Enron@Enron 
Subject: Forward-forward Vol

John,

Per your and Jeff's request, Research and Market Risk Groups have conducted 
an extensive analysis of the forward-forward vol methodology used in the 
Value-at-Risk calculation. 

We analyzed and compared two methodologies: 

 the existing methodology - based on forward (implied) vols
 an alternative methodology - based on historical vols

I would like to schedule about 30 minutes to walk you through the pros and 
cons of each methodology and get your input.

Vlady.