Message-ID: <11848517.1075856642625.JavaMail.evans@thyme>
Date: Fri, 28 Jul 2000 13:08:00 -0700 (PDT)
From: kirstee.hewitt@enron.com
To: cantekin.dincerler@enron.com, vince.kaminski@enron.com, 
	grant.masson@enron.com, bjorn.hagelmann@enron.com
Subject: MG VaR Results for the 27th July
Cc: steven.leppard@enron.com
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
Bcc: steven.leppard@enron.com
X-From: Kirstee Hewitt
X-To: Cantekin Dincerler, Vince J Kaminski, Grant Masson, Bjorn Hagelmann
X-cc: Steven Leppard
X-bcc: 
X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\Var
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

Hi,
I have run the VaR with updated factor loadings for the gold,silver and cocoa 
bean positions. The biggest change in VaR from 
adding this information has been to the Cocoa bean position which has 
increased from approx $45,900 to $506,553.
The overal VaR has not changed by very much as the position file I was sent 
from Andreas had not changed from the 26th - I 
have queried this and it will not be a problem to re-run the numbers on 
Monday if I recieve a further file.
The VaR summary for all the metals is as follows :





Also, after having a conversation with Bjorn about stress/scenario analysis I 
thought I might quickly try to set up a few scenarios to 
see how sensitive the VaR is to a position change in Aluminium, Nickel and 
Copper.
I have only applied position increases (thge direction of the shifts are 
dependent on the monthly outright position direction) up until Dec2000.
The shifts and results are given in the following attached spreadsheet.  


It is interesting that the individual VaR's are particuarly sensitive to 
increasing the position for Nickel.
I would like to discuss these results on Monday and any further suggestions 
for senarios would also be gratefully recieved.

Have a good weekend,
Kirstee.