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Enron Mail |
Vince,
I took the curve shift P&L from the RMS database and prompt month volatility for both GAS and POWER for the period of Aug-2000 to Aug-2001. In case POWER, volatility has relationship with VAR but less likely with P&L. For GAS volatility, the correlation with VAR is weaker than the case of POWER and also low relationship with P&L. Thanks. Jaesoo -----Original Message----- From: Kaminski, Vince J Sent: Tuesday, December 04, 2001 10:40 AM To: Shanbhogue, Vasant; Bharati, Rakesh; Tamarchenko, Tanya; Raymond, Maureen; Lew, Jaesoo Subject: FW: Summary of meeting -----Original Message----- From: Desai, Jayshree Sent: Tuesday, December 04, 2001 10:31 AM To: Kaminski, Vince J Cc: Wadlington, Mark Subject: Summary of meeting Hello Vince, I thought that I would take the liberty to summarize our request after our meeting this morning: Volatilities per commodity Electricity Natural Gas Crude Oil (strip proxy?) Aluminum (strip proxy?) Copper (stip proxy?) Fixed Income (US 10 year treasuries as a proxy?) Equities (S&P 500 as a proxy?) Currencies ($, yen or DM as a proxy) Cross correlation matrix for each commodity with every other commodity Correlation of power and gas volatility to Enron's trading earnings Comparable analysis of Enron ROVAR to other trading organizations (e.g. banks, hedge funds, etc..) Analysis of amount of economic capital versus cash in order to support a certain VAR If there is anything that we can do in order to help with the request, please let me know. Again thank you very much for all of your help. Regards, Jayshree Desai x3-3290 ps Mark and I enjoyed the opportunity to pick your brains.
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