Enron Mail

From: frank.hayden@enron.com To: vince.kaminski@enron.com, tanya.tamarchenko@enron.com Subject: No Jump VaR results Cc: Bcc: Date: Wed, 2 May 2001 20:37:00 -0700 (PDT) Jumps in Value-at-risk calc EFF_DTPORTFOLIO_IDDOWN95DOWN99 01-May-01WEST-DPR-VAR (26,683,222) (38,279,807) 01-May-01EAST-DPR-VAR (34,670,131) (53,329,980) 01-May-01CAND-DPR-VAR (12,252,860) (17,699,660) 01-May-01AGG-PWR-II (50,494,023) (72,905,916) No jumps in Value-at-risk calc EFF_DTPORTFOLIO_IDDOWN95DOWN99 01-May-01WEST-DPR-VAR (25,713,174) (37,131,448) 01-May-01EAST-DPR-VAR (33,426,547) (49,507,233) 01-May-01CAND-DPR-VAR (12,345,632) (18,726,559) 01-May-01AGG-PWR-II (48,061,924) (66,560,550) Diff in Value-at-risk calc between jumps and no jumps EFF_DTPORTFOLIO_IDDOWN95DOWN99 01-May-01WEST-DPR-VAR 970,048 1,148,359 01-May-01EAST-DPR-VAR 1,243,584 3,822,748 01-May-01CAND-DPR-VAR (92,771) (1,026,900) 01-May-01AGG-PWR-II 2,432,099 6,345,366