precious metals var jason ,
after our brief discussion last night i think i should discuss a few of the
issues i have with respect to calculating a var on the deal that you are
proposing . the var model , as i illustrated , is set up to accept a term
structure of delta positions , prices and vols and it may be difficult to
translate the ' silver mine ' position into these inputs .
i do not think that we can simply take the net silver content of the mine and
then make some assumptions about vol and price . the var model
also assumes a certain amount of liquidity in the market and a 1 day holding
period .
to do this properly i would need to understand fully how the deal is priced
as these sensitivities are ultimately what will effect the change in mtm
in the future and that is essentially what var is supposed to predict .
if you need me to work on this then you need to contact steve who will help
to prioritise my time . i will also need to consult with vince kaminski and
tanya tamarachenko in houston for advice .
rac will also assist in the process .
please contact me if you have any further questions ,
kirstee
x 34529
precious metals var
jason ,
after our brief discussion last night i think i should discuss a few of the
issues i have with respect to calculating a var on the deal that you are
proposing . the var model , as i illustrated , is set up to accept a term
structure of delta positions , prices and vols and it may be difficult to
translate the ' silver mine ' position into these inputs .
i do not think that we can simply take the net silver content of the mine and
then make some assumptions about vol and price . the var model
also assumes a certain amount of liquidity in the market and a 1 day holding
period .
to do this properly i would need to understand fully how the deal is priced
as these sensitivities are ultimately what will effect the change in mtm
in the future and that is essentially what var is supposed to predict .
if you need me to work on this then you need to contact steve who will help
to prioritise my time . i will also need to consult with vince kaminski and
tanya tamarachenko in houston for advice .
rac will also assist in the process .
please contact me if you have any further questions ,
kirstee
x 34529