Subject: VAR Priorities
From: [email-masked]
To: [email-masked], [email-masked], [email-masked]
Cc: [email-masked]
Date: Wed, 9 Aug 2000 07:34:00 -0700 (PDT)

Vlady..
this was the list John referenced the other day.  
Ted
---------------------- Forwarded by Ted Murphy/HOU/ECT on 08/09/2000 02:30 PM 
---------------------------

From:  Ted Murphy                                                             
06/28/2000 07:45 AM	

	                           

To: Rick Buy
cc:  
Subject: VAR Priorities

Rick,
This is my initial attempt to summarize our meeting with John.  The next 
steps would be to solicit feedback from other interested parties and scope 
the resources and responsibilities.
Ted

Rick Buy, John Lavorato and I met to discuss priorities as it relates to the 
calculation of VAR.  We are making the following recommendations

 1) Inclusion of monthly index positions into VAR calculations as the 
indicies set in North American Natural Gas
 2) Development of a methodology to re-run correlations (factor loadings) 
including criteria, responsibilities and acceptance/rejection criteria
 3) Development of process by which to analyze the output of factor loading 
process.  Database to store output and management reports.
 4) Finalize debate on the calculation of Forward/Forward volatility
 5) Scope a project to analyze the possibility of calculating hourly 
volatility for power.

It was further recommended that we continue to not include unpriced index 
positions in VAR calculation.