Subject: Re: backtesting results for West Power
From: [email-masked]
To: [email-masked]
Cc: [email-masked]
Date: Thu, 3 May 2001 13:09:00 -0700 (PDT)

Frank, 
I checked historical prices for R8. The vols posted by traders seem too high. This causes
high VAR numbers.

Tanya

Tanya Tamarchenko
05/03/2001 09:40 AM
To:	Frank Hayden/Enron@EnronXgate
cc:	 
Subject:	Re:   

Frank,
portfolio POWER-NW-LT includes subportfolios EPMI-LT-NW-PR1 and EPMI-LT-NW-EX1.
The last one has VAR about 29M but when I look at the component VAR for POWER-NW-LT
there is no VAR corresponding to EPMI-LT-NW-EX1.

This is probably irrelevant to the question we need to resolve: why backtesting for POWER-NW-LT
does not look that good. Did you check that the prices behavior corresponds to high vols traders post?

Tanya

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