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Enron Mail |
Rick and Ted,
It looks more like foxes building chicken houses as opposed to foxes guarding chicken houses. I shall send a message to Bryan saying that the Research has to look under the hood and examine the mechanics of the model in order to sign off on it. A dog and pony show is not sufficient. In any case, the decision to approve the model should not be left to Ben and Kirstee. Please, let me know what your thinking is. Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 11/10/2000 01:31 PM --------------------------- Bryan Seyfried 11/10/2000 03:20 AM To: Vince J Kaminski/HOU/ECT@ECT, Steven Leppard/LON/ECT@ECT cc: Ted Murphy/HOU/ECT@ECT Subject: VaR for EnronCredit.com Vince/Steve -- we are going to the Board in December to ask for formal limits. As you know one of the key limits at the Board level is Value at Risk. To that end, it is imperative that you are comfortable with our approach for calculating VaR. We have implemented a third party risk system which holds all of our positions and are in the process of putting the debt positions in. The system has a VaR engine which is being demo'd by the vendor today. Ben and Kirstee are attending the demo and if they find the technology acceptable, I propose moving forward with implemantion of the module. Pls. let me know if this sounds reasonable and how you would envision implementing. thanks
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