Equity Extremes

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 10/13/2000
05:13 PM ---------------------------

Naveen Andrews@ENRON
09/21/2000 09:13 AM
To: Vince J Kaminski/HOU/ECT@ECT
cc:
Subject: Equity Extremes

Vince,
Herewith is a write-up I gave at the Research Meeting yesterday
on the worst-case-loss efforts I have been working on for the Equities
portfolio. It is based on Wilmott's CrashMetrics and delta-gamma portfolio
optimization. The goal is to ascertain how much possible loss a portfolio
can have, based on historical data. Comments are welcome.

Regards
Naveen