Message-ID: <31419552.1075856643197.JavaMail.evans@thyme>
Date: Tue, 11 Jul 2000 09:10:00 -0700 (PDT)
From: ted.murphy@enron.com
To: vince.kaminski@enron.com
Subject: Re: VAR Priorities
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Vince
Thanks for the quick response.  Agree on #5  just bear in mind it says SCOPE 
not implement so it is more of a development of a project.
RE; MG I will keep Tanya apprised of travel plans and give her the option to 
be in or out as you two see fit.
Ted




Vince J Kaminski
07/11/2000 03:57 PM
To: Ted Murphy/HOU/ECT@ECT
cc: Tanya Tamarchenko/HOU/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT 
Subject: Re: VAR Priorities  

Ted,

Item # 5 will require help from IT. My understanding is that currently we are 
receiving the
positions aggregated to a daily level.

Also, I talked to Tanya about visiting MG in New York. She is leaving for 
vacation on the 26th of July 
and can go for a day to NYC prior to this date.

I think that it makes a lot of sense for her to visit MG and to kick
the tires. I asked her to coordinate the trip with you: it makes sense
for both of you to go together. I may join you depending on my availability.

Vince 






   


From:  Ted Murphy                                                             
07/11/2000 03:20 PM	
	
	
	                           
	

To: Vince J Kaminski/HOU/ECT@ECT, John Sherriff/LON/ECT@ECT
cc:  
Subject: VAR Priorities

Vince/John,
Below is a brief summary of near-term projects for the enhancement of VAR and 
the use of VAR.  As you can tell some are not directly Research issues (some 
require the guidance but not direct work product), and are very North 
American Wholesale-centric.    
Vince,
I think that the only one in which progress requires your input to get kick 
started is #5.  All others are in progress with Tanya/Grant involved through 
Jeff Shankman's regular meeting.
We would like to get your input as to your priorities (we were thinking Top 
5?) and then start knocking some of them out.  It is not meant to be 
exhaustive and is focused on fixes as opposed to overhauls. 
Thanks
Ted
---------------------- Forwarded by Ted Murphy/HOU/ECT on 07/11/2000 03:10 PM 
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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.