Re: extreme value theory applied to weathet

Dear Vince and Grant,

I am currently reviewing some of the more erecent references on EVT and its
application. I get back to you shortly with some points regarding the
usefulness of EVT and how traders (electricity and weather) can benefit from
EVT.

Cheers,
Christian

To: Christian Werner/ENRON_DEVELOPMENT@ENRON_DEVELOPMENT
cc:

Subject: Re: extreme value theory applied to weathet

Christian:

To my knowledge, the research group is examining EVT primarily in the context
of Value at Risk calculations. We have not looked at EVT for power, because,
to date, we have been focussing on shorter term fundamental forecasting of
price excursions: i.e. given tomorrow's load forecasts and expected plant
dispatch, we attempt to predict which lines will become constrained and how
the system will react to alleviate these constraints. I would be interested
in your thoughts on how EVT would benefit the traders however. As far as the
weather goes, I would expect the weather desk to use EVT at some level.
Clearly you should talk to Joe Hrgovcic, the researhc chap attached to the
weather desk, for a more accurate assessment.

Cheers,
Grant.