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Enron Mail |
Frank,
I checked historical prices for R8. The vols posted by traders seem too high. This causes high VAR numbers. Tanya Tanya Tamarchenko 05/03/2001 09:40 AM To: Frank Hayden/Enron@EnronXgate cc: Subject: Re: Frank, portfolio POWER-NW-LT includes subportfolios EPMI-LT-NW-PR1 and EPMI-LT-NW-EX1. The last one has VAR about 29M but when I look at the component VAR for POWER-NW-LT there is no VAR corresponding to EPMI-LT-NW-EX1. This is probably irrelevant to the question we need to resolve: why backtesting for POWER-NW-LT does not look that good. Did you check that the prices behavior corresponds to high vols traders post? Tanya
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