Message-ID: <19610404.1075856642359.JavaMail.evans@thyme>
Date: Fri, 4 Aug 2000 10:38:00 -0700 (PDT)
From: kirstee.hewitt@enron.com
To: vince.kaminski@enron.com
Subject: Re: VaR for COB 2nd Aug 2000
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
X-From: Kirstee Hewitt
X-To: Vince J Kaminski
X-cc: 
X-bcc: 
X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Var
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

Hi Vince,
I have sent a mail to Andreas with a full list of all the assumed units 
within our model. He has sent some historical 
data for cocoa beans and noticed that they were being quoted in GBP/mt so 
even currency units seem to be important.
Thank you for pointing this out,
Kirstee





Vince J Kaminski
04/08/2000 15:45
To: Kirstee Hewitt/LON/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT, Cantekin Dincerler/HOU/ECT@ECT, Grant 
Masson/HOU/ECT@ECT 

Subject: Re: VaR for COB 2nd Aug 2000  

Hi Kirstee,

Thanks again for all your work on MG. One think to double check is units.
Please, make sure that the prices are quoted in the same units our positions 
come in.

One potential source of confusion arises from the fact that we are dealing 
with different
cultures (metric system vs. English measures). 



Vince




   
	Enron Capital & Trade Resources Corp. - Europe
	
	From:  Kirstee Hewitt                           08/03/2000 11:31 AM
	

To: Vince J Kaminski/HOU/ECT@ECT
cc:  
Subject: VaR for COB 2nd Aug 2000

Hi Vince,
I was waiting for a comment about the email below before sending it to the 
full mailing list. Basically it suggests that the 
copper option position may well have increased the VaR by more than $500,000. 
However, given that the portfoilo has also 
changed from the 1st of August it is difficult to asses the actual change due 
to the option only.
Regards
Kirstee
---------------------- Forwarded by Kirstee Hewitt/LON/ECT on 03/08/2000 
17:29 ---------------------------
   


	Enron Europe
	
	From:  Kirstee Hewitt                           03/08/2000 16:29
	

To: Cantekin Dincerler/HOU/ECT@ECT, Grant Masson/HOU/ECT@ECT
cc:  

Subject: VaR for COB 2nd Aug 2000

Hi all,
The CU option position has entered the MG books for the 2nd Aug. The delta is 
35299$/mt for Dec 2000. The Cu VaR has gone up 
from $2,245,000 to $3,306,000. I estimated that the portfolio for the 1st 
would increase to approx $3,039,000 so this seems sensible. 
The overall VaR change is from $4,780,796 to $5,991,569. Again, the estimate 
for the 1st Aug was for an increase in VaR to ~ $5,476,000.
All estimates were based on a delta of 32,0004/dmt.
There has also been some increase in the VaR for Aluminium which will effect 
the overall total.
A summary is as follows :






 
regards,
Kirstee