Subject: Re: current VAR issues
From: [email-masked]
To: [email-masked], [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Thu, 5 Oct 2000 05:17:00 -0700 (PDT)

Here are the current issues related to VAR and Credit models:
 
1. Factor loadings (FL) for all "primary" commodities:
- the code is tested;
- factors loadings have been calculated for every primary curve and examined 
closely by Research;
- using different number of maturities for FL calculations (IT);
- selecting "good" curves, setting mappings for the others (RAC);

2. Reviewing Power VAR model:
- implementing term structure of correlations (preliminary research is in 
progress by Research, to be implemented by IT);
- implementing caps in VAR model (IT);
- jumps for intramonth prices (re-examine prices behavior, Research);

3. Historical FF vols (Research, RAC);

4. Interest rate and FX:
- preliminary research is completed (Research);
- implementation in RiskTrack (IT);

5. Credit model:
- resolving the problem of identical runs giving different results (IT with 
Research's help);

6. MG metals VAR model:
- merging with RiskTrack (RAC, IT, Research);
- refining the model (Research);

7. VAR calculations for UK curves:
- merging with RiskTrack, elimination spreadsheets (RAC, IT, Research);
- looking closely at VAR calculations for each commodity;

8. Merchant portfolio VAR:
- unification with Equity VAR model;

9. Fat tails modeling (Research);

Let me know what I missed.

Thank you,

Tanya.