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Enron Mail |
It is my preference to have an aggregated VAR methodology for the metals
business as soon as possible (Version 1a). I do not want to poison progress with my opiniion, but I think that the critical first step is to find a way to aggregate positions in coarse buckets, perhaps sacrificing precision for speed, based on "rules" that oerations can deliver, Research can stand behind and Commercial will accept., and using an equally coarse VAR calculation (the equivalent of AD-hoc VAR?) that can be delivered to the "official books and records" on a daily basis. This I believe would be acceptable for a 2-3 month time frame (at which time we get version1b) as opposed to waiting 2-3 months to implement a better process and have nothing in the interim. Ultimately, I would look for Version 2a to be delivered and very defendable by 1/1/01. This will require indulgence and compromise on all fronts but I cannot conceive of a better way. Please let me know if this is consistent with your understanding. A critical point from my perspective is that the MG commercial team and metal operations staff understand their role in making this happen and willingness to accept the consequences. I look for you to take the lead as leader of the integration to do so. If you need any input from the rest of us to underscore the importance please let us know. As I alluded to on the phone, the people in Houston that have been involved in the VAR process have been through an extraordinary period of detailed scrutiny of VAR by commercial and have been hindered by the lack of basic understanding by all parties as their responsibilities. Given the distance and the newness of the Metals personell, I fear that this could set us all up for some surprises and some very uncomfortable communication, much of which is not entirely necessary. Thanks Ted Eric Gadd 07/21/2000 11:46 AM To: Ted Murphy/HOU/ECT@ECT, Bjorn Hagelmann/HOU/ECT@ECT cc: Richard Sage/LON/ECT@ECT Subject: Attached fax Ted and Bjorn- We plan to release draft recommendations on metal position limits by close of business on 24 July and have asked Vince to prepare a V@R computational methodology prior to the 7/8 Aug BOD meeting.
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