var priorities vlady . .
this was the list john referenced the other day .
ted
- - - - - - - - - - - - - - - - - - - - - - forwarded by ted murphy / hou / ect on 08 / 09 / 2000 02 : 30 pm
- - - - - - - - - - - - - - - - - - - - - - - - - - -
from : ted murphy
06 / 28 / 2000 07 : 45 am
to : rick buy
cc :
subject : var priorities
rick ,
this is my initial attempt to summarize our meeting with john . the next
steps would be to solicit feedback from other interested parties and scope
the resources and responsibilities .
ted
rick buy , john lavorato and i met to discuss priorities as it relates to the
calculation of var . we are making the following recommendations
1 ) inclusion of monthly index positions into var calculations as the
indicies set in north american natural gas
2 ) development of a methodology to re - run correlations ( factor loadings )
including criteria , responsibilities and acceptance / rejection criteria
3 ) development of process by which to analyze the output of factor loading
process . database to store output and management reports .
4 ) finalize debate on the calculation of forward / forward volatility
5 ) scope a project to analyze the possibility of calculating hourly
volatility for power .
it was further recommended that we continue to not include unpriced index
positions in var calculation .
var priorities
vlady . .
this was the list john referenced the other day .
ted
- - - - - - - - - - - - - - - - - - - - - - forwarded by ted murphy / hou / ect on 08 / 09 / 2000 02 : 30 pm
- - - - - - - - - - - - - - - - - - - - - - - - - - -
from : ted murphy
06 / 28 / 2000 07 : 45 am
to : rick buy
cc :
subject : var priorities
rick ,
this is my initial attempt to summarize our meeting with john . the next
steps would be to solicit feedback from other interested parties and scope
the resources and responsibilities .
ted
rick buy , john lavorato and i met to discuss priorities as it relates to the
calculation of var . we are making the following recommendations
1 ) inclusion of monthly index positions into var calculations as the
indicies set in north american natural gas
2 ) development of a methodology to re - run correlations ( factor loadings )
including criteria , responsibilities and acceptance / rejection criteria
3 ) development of process by which to analyze the output of factor loading
process . database to store output and management reports .
4 ) finalize debate on the calculation of forward / forward volatility
5 ) scope a project to analyze the possibility of calculating hourly
volatility for power .
it was further recommended that we continue to not include unpriced index
positions in var calculation .