Re: UK Power/Gas VaR from RisktRAC

Jin,
since Winston is on vacation Monday-Wednesday this week can you, please, do
the following:
1. Run vatrfacs code based on recent data in stage and calculate:
- factor loadings for NBP, SYSTEM:DAY and SYSTEM:NIGHT ;
- correlations across all main commodities including 17 London curves:
PPPWD1-PPPWD6, PPPWE1-PPPWE6, PE, PE_O,
SYSTEM:DAY, SYSTEM:NIGHT, NBP (presently the correlations for each of UK
curves versus other curves are 0).
2. Run VAR based on these factor loading and correlations.

Please, let me know if you have any problems.

Tanya.

Tanya Tamarchenko
12/08/2000 11:44 AM
To: Oliver Gaylard/LON/ECT@ECT, Kirstee Hewitt/LON/ECT@ECT
cc: David Port/Market Risk/Corp/Enron@ENRON, Steven Leppard/LON/ECT@ECT,
Wenyao Jia/HOU/ECT@ECT, Debbie R Brackett/HOU/ECT@ECT, Stephen
Stock/HOU/ECT@ECT, Rabi De/NA/Enron@ENRON, Jaesoo Lew/NA/Enron@ENRON, Vince J
Kaminski/HOU/ECT@ECT
Subject: Re: UK Power/Gas VaR from RisktRAC

Oliver and Kirstee,
we are going to start running VAR for UK from RisktRac in stage environment
in parallel with the spreadsheet .

As soon as Winston runs the vatrfacs code based on recent data we'll send you
correlations and factors for UK curves
so that you can load these inputs into VAR spreadsheet and then compare the
spreadsheet results to RisktRac results based
on the same inputs (this will, in fact, repeat the exercise you and me did
during your visit in Houston in October).
I have to ask Winston to print out for you the forward forward volatilities
for some date so that you can put them
into the spreadsheet as well.

Thank you,

Tanya