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Enron Mail |
Steve
I have validated the curve shift data against the official internal daily position and p&l reports (which report total p&l) and am generally comfortable with the original curve-shift numbers. The differences betweeen the two are due to the following components of profit and loss, i.e. those which price moves against a day's closing position do not capture: 1 Intra day positioning (in the forward and cash markets) 2 New deals against our mid curve 3 Liquidity and other reserve movements 4 Liquidation (i.e. where forward mark-to-market value drops out of the forward book and into cash) The data set you have is the one we use to test the efficacy of our VaR models and I would be cautious in their use for predicting profitability. Hence total p&l is the best indicator since it includes all the value changes in the book. I imagine you are using some measure of return on risk to predict p&l (RoVaR, for example). We have done similar studies for presentation to our Board, amongst others. Let me know if this analysis would be useful to you - we would be happy to provide it. Regards David -----Original Message----- From: steve allen [mailto:allenste@rcn.com] Sent: Sunday, December 09, 2001 4:20 PM To: Port, David Subject: Spreadsheet from teve Allen
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