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Enron Mail |
Dear Mr Kaminski
Thank you very much for your prompt reply and for the information you sent= =20 me. I have incorporated this information in the program and am sending you= =20 it again for one last confirmation. (In particular, I hope that I have you= r=20 job title and organization name correct?). Measuring Energy Risk =01) Tackling Price Volatility, Adapting VaR, Scenar= io=20 Modelling and Regulatory Requirements The challenge of modeling price dynamics in the energy markets.=20 - seasonality - fat tails - jumps - mean (or floor) reversion Price volatility in the energy markets: definition and estimation Adapting value-at-risk for the energy markets: - combination of physical and financial contracts - correct representation of price dynamics and inter-market price=20 relationships - capturing complexity of energy contracts Historical vs. Monte Carlo simulation vs. scenario analysis. Pros and cons = =20 of different approaches Regulatory uncertainty and value-at-risk =20 Vince Kaminski, Managing Director, Research, Enron Corp. If there are no alterations required I will assume that everything is fine= =20 as it is and will proceed to the printers in due course. I also look forwa= rd=20 to receiving a short biography of about fifty words in due course. ? If you have any queries please do not hesitate to contact me, otherwise I= =20 look forward to seeing you in New York in February. ? Kind regards ? Andreas ____________________________ Andreas Simou GARP 2001 - Conference Producer Tel? +44 (0) 20 7626 9301 Fax +44 (0) 20 7626 9900
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