inflation model review - final version this morning a draft of rac ' s inflation model review was discussed with anjam .
all points as presented in the draft were agreed upon .
also , four new points were amended as suggested by anjam :
the rpi short - term model could be improved by a combination of the
information available from the gilts and rpi swaps market .
add : " this is an issue across all enron ' s econometric models . " to section
pllu and dzcv short - term , first point .
to implement some of the suggestions requires additional statistical and
programming resources .
additionnal human resources with advanced econometric modelling skills are
required given the current workload of the european research team .
please find the final version attached .
please note that the short term solution has been to freeze the curve .
the medium to long term solution involves futher research towards a sounder
and more efficient model .
given the current workload of the european research group , it is necessary to
hire a new member of staff with strong economics and econometrics background
to address this issue properly .
rac will communicate to the financial trading group and risk management the
actions to take as the curve will be frozen .
thanks ,
rodrigo
inflation model review - final version
this morning a draft of rac ' s inflation model review was discussed with anjam .
all points as presented in the draft were agreed upon .
also , four new points were amended as suggested by anjam :
the rpi short - term model could be improved by a combination of the
information available from the gilts and rpi swaps market .
add : " this is an issue across all enron ' s econometric models . " to section
pllu and dzcv short - term , first point .
to implement some of the suggestions requires additional statistical and
programming resources .
additionnal human resources with advanced econometric modelling skills are
required given the current workload of the european research team .
please find the final version attached .
please note that the short term solution has been to freeze the curve .
the medium to long term solution involves futher research towards a sounder
and more efficient model .
given the current workload of the european research group , it is necessary to
hire a new member of staff with strong economics and econometrics background
to address this issue properly .
rac will communicate to the financial trading group and risk management the
actions to take as the curve will be frozen .
thanks ,
rodrigo