Subject: Re: VaR for EnronCredit.com
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked], [email-masked], [email-masked]
Date: Fri, 10 Nov 2000 06:11:00 -0800 (PST)

Bryan,

We shall be glad to  take a look at the system. To sign - off on the vendor 
provided system we
have to look under the hood and review the algorithms. I hope the vendor will 
have no objections to it.

Another critical issue we have to solve on a short notice is to integrate the 
system you want to buy
with the rest of VaR/credit systems. We shall stand by to help in this 
endeavor.

An alternative approach is to evaluate to what extent your positions can be 
rolled into the existing risk systems.

Vince

Bryan Seyfried
11/10/2000 03:20 AM
To: Vince J Kaminski/HOU/ECT@ECT, Steven Leppard/LON/ECT@ECT
cc: Ted Murphy/HOU/ECT@ECT 
Subject: VaR for EnronCredit.com

Vince/Steve -- we are going to the Board in December to ask for formal 
limits.  As you know one of the key limits at the Board level is Value at 
Risk. To that end, it is imperative that you are comfortable with our 
approach for calculating VaR.  We have implemented a third party risk system 
which holds all of our positions and are in the process of putting the debt 
positions in.  The system has a VaR engine which is being demo'd by the 
vendor today.  Ben and Kirstee are attending the demo and if they find the 
technology acceptable, I propose moving forward with implemantion of the 
module.  Pls. let me know if this sounds reasonable and how you would 
envision implementing.

thanks