re : var for enroncredit . com bryan ,
we shall be glad to take a look at the system . to sign - off on the vendor
provided system we
have to look under the hood and review the algorithms . i hope the vendor will
have no objections to it .
another critical issue we have to solve on a short notice is to integrate the
system you want to buy
with the rest of var / credit systems . we shall stand by to help in this
endeavor .
an alternative approach is to evaluate to what extent your positions can be
rolled into the existing risk systems .
vince
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
re : var for enroncredit . com
bryan ,
we shall be glad to take a look at the system . to sign - off on the vendor
provided system we
have to look under the hood and review the algorithms . i hope the vendor will
have no objections to it .
another critical issue we have to solve on a short notice is to integrate the
system you want to buy
with the rest of var / credit systems . we shall stand by to help in this
endeavor .
an alternative approach is to evaluate to what extent your positions can be
rolled into the existing risk systems .
vince
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