Enron Mail

From:tanya.tamarchenko@enron.com
To:vince.kaminski@enron.com, rabi.de@enron.com, jaesoo.lew@enron.com
Subject:Re: Suggestion: implementing VAR based on non-normal log-returns
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Date:Thu, 7 Dec 2000 05:17:00 -0800 (PST)

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X-From: Tanya Tamarchenko
X-To: Vince J Kaminski, Rabi De, Jaesoo Lew
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Everybody,
we were talking for a while about using non-normal distributions in the
Monte-Carlo simulations in our VAR model.
I put together some suggestion regarding this. The text is under
O:\_Dropbox\Tanya\non_normal_logs.doc

Look through this 3 page document, and let me know what you think, please.


Tanya