|
|
Enron Mail |
Jason,
After our brief discussion last night I think I should discuss a few of the issues I have with respect to calculating a VaR on the deal that you are proposing. The VaR model, as I illustrated, is set up to accept a term structure of delta positions, prices and vols and it may be difficult to translate the 'silver mine' position into these inputs. I do not think that we can simply take the net silver content of the mine and then make some assumptions about vol and price. The VaR model also assumes a certain amount of liquidity in the market and a 1 day holding period. To do this properly I would need to understand fully how the deal is priced as these sensitivities are ultimately what will effect the change in MTM in the future and that is essentially what VaR is supposed to predict. If you need me to work on this then you need to contact Steve who will help to prioritise my time. I will also need to consult with Vince Kaminski and Tanya Tamarachenko in Houston for advice. RAC will also assist in the process. Please contact me if you have any further questions, Kirstee x34529
|