|
|
Enron Mail |
I'm not sure what is happening on my position. It may have to do with how
you shaped the forward vol and price curves at each level. My VAR is so dependent on spread levels and vols that a small change in the Jan vols could produce that effect. The results certainly provide evidence of a need for higher VAR going into the winter. John Enron North America Corp. From: Frank Hayden @ ENRON 09/15/2000 06:32 PM To: John J Lavorato/Corp/Enron@Enron, John Arnold/HOU/ECT@ECT cc: Vladimir Gorny/HOU/ECT@ECT, Sunil Dalal/Corp/Enron@ENRON Subject: Stress Test The below file shows the results of the two stress test requested. Under the $7 dollar stress, NYMEX curve was shifted to $7 dollars with all other price curves proportionally shifted. Under the $9 dollar test, not only were the price curves shifted, but volatilites were stressed as well with NYMEX volatility going to 100% and all other vol locations being raised accordingly. Key findings include: $7 dollar stress only raised VaR by 79% $9 dollar stress raised VaR by 134% It is interesting to note that with the seven dollar stress, VaR on the financial desk actually decreased. This would seem to imply that up to the seven dollar strike, the financial desk is long gamma (which overall reduces risk). But between the seven dollar and nine dollar strike, it appears that the desk becomes short gamma, thereby acceralatering the amount of risk and increasing VaR by 74%. Does this make sense or is something else happening? Frank ---------------------- Forwarded by Frank Hayden/Corp/Enron on 09/15/2000 03:43 PM --------------------------- From: Sunil Dalal 09/15/2000 02:54 PM To: Vladimir Gorny/HOU/ECT@ECT, Frank Hayden/Corp/Enron@Enron cc: Subject: Lavo/Arnold Stresses Attached below are the $7 and $9 stresses that were run at the request of Lavo ($7) and Arnold ($9). I ran the results against the AGG-IV portfolio.
|