Message-ID: <4625163.1075856643125.JavaMail.evans@thyme>
Date: Mon, 17 Jul 2000 12:30:00 -0700 (PDT)
From: vladimir.gorny@enron.com
To: john.lavorato@enron.com, ted.murphy@enron.com, vince.kaminski@enron.com, 
	john.arnold@enron.com
Subject: VaR Methodology Change
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Gentlemen,

Below is a plan of action for moving along with the VaR methodology change 
related to forward-forward volatility:

1. Finalize the methodology proposed (Research/Market Risk)

 - determine the time period used to calculated forward-forward vols vs. 
correlations (20 days vs. 60 days)
 - stabilize the calculation for curves and time periods where the curve does 
not change based on historical prices, implying volatility of 0%

2. Get approval for the methodology change from Rick Buy (see draft of the 
memo attached) - John Lavorato and John Sherriff



3. Develop and implement the new methodology in a stage environment 
(Research/IT)

4. Test the new methodology (Market Risk, Traders)

5. Migrate into production (Research/IT)

Please let me know if this is reasonable and meets everyone's expectations. 
Vlady.