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Enron Mail |
Cc: eric.gadd@enron.com, bjorn.hagelmann@enron.com, david.port@enron.com,
zimin.lu@enron.com, dale.surbey@enron.com, stinson.gibner@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: eric.gadd@enron.com, bjorn.hagelmann@enron.com, david.port@enron.com, zimin.lu@enron.com, dale.surbey@enron.com, stinson.gibner@enron.com X-From: Anjam Ahmad X-To: Tanya Tamarchenko, Kirstee Hewitt, Cantekin Dincerler, Vince J Kaminski, Grant Masson, Ted Murphy X-cc: Eric Gadd, Bjorn Hagelmann, David Port, Zimin Lu, Dale Surbey, Stinson Gibner X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_1\Notes Folders\All documents X-Origin: Kaminski-V X-FileName: vkamins.nsf Dear all, I am leaving the office now, and sending you the preliminary model 1a for MG Metals VaR that Tanya, Cantekin, Kirstee have put together. We are now in a position to look at the VaR by metal for positions as of 19th July 2000, subject to some data that needs updating/correcting; we still need to update some information/data flow processes as follows:- i) Factor Loadings for silver, gold, cocoa beans and TC (treatment charge for copper concentrate) ii) Check correlations between Nickel and Alu and Nickel and Copper (I got different answers to Houston) iii) Ensure latest forward price curves are included (perhaps through live link to Telerate/Reuters) iiia) Price for silver is wrong (units should be $ per troy ounce), and similarly for gold (price should be $ per troy ounce), also we need cocoa bean forward curve iv) Find a better way to extract positional information from MG Metals/link to the spreadsheet in an automated fashion v) Add "minor" metals like cobalt, palladium, platinum, cadmium etc. (N.B. we have 1,093 troy ounces of palladium short posn and 3,472 troy ounces platinum long as of 19th July) Please feel free to add to this list if I have missed anything; I believe that we have most of the bases covered in respect of issues to resolve ahead of the deadline of 7th August and fully expect that we will deliver. Regards, Anjam Ahmad x35383 SPREADSHEET: P.S. The DLL the spreadsheet requires is in O:\Research\Common\from_vsh\Value@Risk\Ccode\Debug\varcsnl.dll -< most of you have access to this.
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