Subject: FW: Task force for Risk Analytics
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked], [email-masked]
Date: Thu, 19 Jul 2001 13:24:44 -0700 (PDT)

Shona -

Please put Kam on the V@R task force,  Errol on the stress testing task force, and Greg on the models task force.

Thanks,

Jeff

 -----Original Message-----
From: 	Wilson, Shona  
Sent:	Monday, July 16, 2001 5:41 PM
To:	Hall, Bob M; Gossett, Jeffrey C.; White, Stacey W.; Gillis, Brian; Reeves, Kathy; Hedstrom, Peggy; Price, Brent A.; Glover, Sheila; Hall, D. Todd; Sweeney, Kevin; Latham, Jenny; Wood, Shelly; Moscoso, Michael E.; Leuschen, Sam; Hanson, Kristen J.; Jordan, Mike; New, James; Cornfield, Andrew; Mills, Scott; Pearce, Barry; Albrecht, Kristin; Miralles, Al; Ayala, Susie; Port, David; Schultz, Cassandra; Abel, Chris; Hernandez, Nancy
Cc:	Apollo, Beth; Beck, Sally
Subject:	Task force for Risk Analytics

Today we had a meeting where we discussed, among other things, what some of the improvements to the risk analytics being done within Global Risk Operations ("Energy Ops") should be.  For those of you who could not attend today's meeting, there is an additional meeting scheduled for next Monday.

As a result of previous risk/RAC meetings, task forces to address the following are being set up.  I have chosen four key areas that address our largest concerns.  We are looking for 4-5 people on a task force and each of you should either be on a task force or elect a manager or above representative from your group to sit on a task force.

Please let me know by Wednesday which task force you would like to be assigned to.  I will then compile the information and get back to you with all of the team members for each task force.

Task forces needed:

Curve validations & correlation factors, & conversion factors- we need to look at tools, resources, methodologies etc.  The goal is to roll out to the individual risk groups a standard curve methodology and a tool to perform the validations.
Members to date: Tom Victorio, Jeff Gossett
Date to have methodology & tools rolled out: Aug 30

Stress testing and Scenario Analysis - The goal is to determine if standard scenarios should be developed, how this testing/analytics should be performed, and what tools should be used to do it.
Date to determine how these stress testing & scenario analysis should be performed Aug 30.  To be implemented on test basis - end of Q3, to be fully implemented Oct 30.

VAR - currently the calcs are not clearly understood by all risk groups.  This task force would be responsible for defining roles and responsibilities for VAR and work with RAC to develop training courses on "ENRON VAR".
Members to date: Sheila Glover
Date to have classes scheduled & roles & responsibilities determined: Sept 30

Models - We have developed a good tool to identify valuation profit and loss models "exotic spreadsheets" within RisktRAC and are now in the process of putting together review standards for these models.  The goal of this task force is to implement an agreed upon review standard for all models.
Members to date: Nancy Hernandez
Date to have review & approval process in place Sept 30