Message-ID: <20904524.1075856600450.JavaMail.evans@thyme>
Date: Mon, 11 Sep 2000 03:04:00 -0700 (PDT)
From: vkaminski@aol.com
To: andreas@garpmail.com
Subject: Re: The GARP 2001 Convention
Cc: vkamins@enron.com
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Hello Andreas,

My title is Managing Director, Research, Enron North America
Enron Corp.
1400 Smith
Room EB1962
Houston, TX 77002
(713) 853 3848
(713) 646 2503 (fax)


Bullet points:

1. The challenge of modeling price dynamics in the energy markets.
- seasonality
- fat tails
- jumps
- mean (or floor) reversion

2. Price volatility in the energy markets: definition and estimation
3. Adapting value-at-risk for the energy markets:
- combination of physical and financial contracts
- correct representation of price dynamics and inter-market price
relationships
- capturing complexity of energy contracts
4. Historical vs. Monte Carlo simulation vs. scenario analysis. Pros and cons
of different approaches.
5. Regulatory uncertainty and value-at-risk


Feel free to edit the bullet points if you see a typo (no spell checker on my
laptop for AOL).

Vince