Re: UK Power/Gas VaR from RisktRAC

Oliver and Kirstee,
we are going to start running VAR for UK from RisktRac in stage environment
in parallel with the spreadsheet .

As soon as Winston runs the vatrfacs code based on recent data we'll send you
correlations and factors for UK curves
so that you can load these inputs into VAR spreadsheet and then compare the
spreadsheet results to RisktRac results based
on the same inputs (this will, in fact, repeat the exercise you and me did
during your visit in Houston in October).
I have to ask Winston to print out for you the forward forward volatilities
for some date so that you can put them
into the spreadsheet as well.

Thank you,

Tanya