Message-ID: <5815696.1075856641848.JavaMail.evans@thyme>
Date: Thu, 7 Dec 2000 05:17:00 -0800 (PST)
From: tanya.tamarchenko@enron.com
To: vince.kaminski@enron.com, rabi.de@enron.com, jaesoo.lew@enron.com
Subject: Re: Suggestion: implementing VAR based on non-normal log-returns
 simulations
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X-From: Tanya Tamarchenko
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Everybody, 
we were talking for a while about using non-normal distributions in the 
Monte-Carlo simulations in our VAR model.
I put together some suggestion regarding this. The text is under 
O:\_Dropbox\Tanya\non_normal_logs.doc

Look through this 3 page document, and let me know what you think, please.


Tanya