Enron Mail

From: anjam.ahmad@enron.com To: tanya.tamarchenko@enron.com, kirstee.hewitt@enron.com Subject: Fwd Fwd Volatility for Metals VaR Cc: grant.masson@enron.com, vince.kaminski@enron.com Bcc: grant.masson@enron.com, vince.kaminski@enron.com Date: Tue, 25 Jul 2000 08:06:00 -0700 (PDT) Hi Tanya, I think using the 60 business day fwd fwd vols based on historical data is reasonable, to ensure consistency with the amount of data we use to estimate the eigenvalues. I am just finishing the correlations study. Regards, Anjam x35383 ZINC: LEAD: ALUMINUM H: ALUMINUM S: TIN: COPPER: NICKEL: