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Enron Mail |
Ted,
Item # 5 will require help from IT. My understanding is that currently we are receiving the positions aggregated to a daily level. Also, I talked to Tanya about visiting MG in New York. She is leaving for vacation on the 26th of July and can go for a day to NYC prior to this date. I think that it makes a lot of sense for her to visit MG and to kick the tires. I asked her to coordinate the trip with you: it makes sense for both of you to go together. I may join you depending on my availability. Vince From: Ted Murphy 07/11/2000 03:20 PM To: Vince J Kaminski/HOU/ECT@ECT, John Sherriff/LON/ECT@ECT cc: Subject: VAR Priorities Vince/John, Below is a brief summary of near-term projects for the enhancement of VAR and the use of VAR. As you can tell some are not directly Research issues (some require the guidance but not direct work product), and are very North American Wholesale-centric. Vince, I think that the only one in which progress requires your input to get kick started is #5. All others are in progress with Tanya/Grant involved through Jeff Shankman's regular meeting. We would like to get your input as to your priorities (we were thinking Top 5?) and then start knocking some of them out. It is not meant to be exhaustive and is focused on fixes as opposed to overhauls. Thanks Ted ---------------------- Forwarded by Ted Murphy/HOU/ECT on 07/11/2000 03:10 PM --------------------------- From: Ted Murphy 06/28/2000 07:45 AM To: Rick Buy cc: Subject: VAR Priorities Rick, This is my initial attempt to summarize our meeting with John. The next steps would be to solicit feedback from other interested parties and scope the resources and responsibilities. Ted Rick Buy, John Lavorato and I met to discuss priorities as it relates to the calculation of VAR. We are making the following recommendations 1) Inclusion of monthly index positions into VAR calculations as the indicies set in North American Natural Gas 2) Development of a methodology to re-run correlations (factor loadings) including criteria, responsibilities and acceptance/rejection criteria 3) Development of process by which to analyze the output of factor loading process. Database to store output and management reports. 4) Finalize debate on the calculation of Forward/Forward volatility 5) Scope a project to analyze the possibility of calculating hourly volatility for power. It was further recommended that we continue to not include unpriced index positions in VAR calculation.
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