Re: Forward-forward Vol

I'm free from 4:00-5:00 today

From: Vladimir Gorny 07/10/2000 02:14 PM

To: John Arnold/HOU/ECT@ECT
cc: Tanya Tamarchenko/HOU/ECT@ECT, Frank Hayden/Corp/Enron@Enron
Subject: Forward-forward Vol

John,

Per your and Jeff's request, Research and Market Risk Groups have conducted
an extensive analysis of the forward-forward vol methodology used in the
Value-at-Risk calculation.

We analyzed and compared two methodologies:

the existing methodology - based on forward (implied) vols
an alternative methodology - based on historical vols

I would like to schedule about 30 minutes to walk you through the pros and
cons of each methodology and get your input.

Vlady.