Re: Joint Factor Loadings for Brent and 61NY

Jin and Winston,
I reviewed the factors resulting from joint estimation on 61NY and Brent in
stage.

I see that now we have flexibility to specify the groups of commodities for
joint factor loading analysis.
We also can specify the number of forward prices we would like to use in this
analysis.
This is great, thank you.

Regarding 61NY and Brent analysis could you, please, use 18 forward months
prices? (currently it is 60).
Then we can run VAR in stage and see how this affects VAR number for
"Financial Products" portfolio (Niamh's question)

We also have to have the same flexibility to produce factors jointly for
power regions. Can we put power
curves information into the same table (rms_comm_name_history)?

Tanya

Tanya Tamarchenko
11/08/2000 02:39 PM
To: Wenyao Jia/HOU/ECT@ECT, Jin Yu/HOU/ECT@ECT
cc: Niamh Clarke/LON/ECT@ECT, Vince J Kaminski/HOU/ECT@ECT
Subject: Re: Joint Factor Loadings for Brent and 61NY

Winston & Jin,

we need to try to run joint estimation of factor loadings for BRENT ant 61NY
based on 18 forward months' prices. This is to capture correlations across
forward contracts for these 2 commodities, and to reflect VAR on Niamh's
book correctly.

Tanya