var limit usage graphs we have created two new graphs that will be published daily along with the
dpr .
for each business unit or commodity group in the dpr the graphs show the var
compared to its limit .
when var is under the limit ( as in the example on the right ) , it appears
green , and the unused portion of the limit appears yellow , which together add
up to the limit amount . when var exceeds the limit ( as on the left ) , the
limit is represented in red , and the excess is shown as a red box outlined in
black . one graph shows usage in dollar terms and the other as a percentage
of the individual limits .
we should be able to publish this graph to the web report viewer as soon as
the web masters have completed the set up . meanwhile , we will e - mail these
graphs to you every day after the dpr is finalized . today ' s are attached
below . please launch the excel file instead of using the lotus notes viewer .
over the past several months we have been putting together a database to
standardize and capture the information that flows to the dpr ( it is very
much like the database we created for eol to report numbers ) . with it we can
perform a variety of analyses ( correlations between books , back - testing ,
estimating sensitivities to risk factors , p & l decomposition and attribution ,
etc . ) . we are nearly finished with its construction , and we hope to provide
you superior analytics and reports in the future .
next week we hope to publish two new graphs : for each business unit in the
dpr one will have 30 day rolling and 5 day rolling rovars ( average p & l
divided by average var ) and the other will have 30 day rolling and 5 day
rolling curve shift sharpe ratios ( average delta - gamma p & l divided by its
standard deviation ) .
we hope you find these useful .
regards ,
eugenio perez
risk analytics
energy operations
var limit usage graphs
we have created two new graphs that will be published daily along with the
dpr .
for each business unit or commodity group in the dpr the graphs show the var
compared to its limit .
when var is under the limit ( as in the example on the right ) , it appears
green , and the unused portion of the limit appears yellow , which together add
up to the limit amount . when var exceeds the limit ( as on the left ) , the
limit is represented in red , and the excess is shown as a red box outlined in
black . one graph shows usage in dollar terms and the other as a percentage
of the individual limits .
we should be able to publish this graph to the web report viewer as soon as
the web masters have completed the set up . meanwhile , we will e - mail these
graphs to you every day after the dpr is finalized . today ' s are attached
below . please launch the excel file instead of using the lotus notes viewer .
over the past several months we have been putting together a database to
standardize and capture the information that flows to the dpr ( it is very
much like the database we created for eol to report numbers ) . with it we can
perform a variety of analyses ( correlations between books , back - testing ,
estimating sensitivities to risk factors , p & l decomposition and attribution ,
etc . ) . we are nearly finished with its construction , and we hope to provide
you superior analytics and reports in the future .
next week we hope to publish two new graphs : for each business unit in the
dpr one will have 30 day rolling and 5 day rolling rovars ( average p & l
divided by average var ) and the other will have 30 day rolling and 5 day
rolling curve shift sharpe ratios ( average delta - gamma p & l divided by its
standard deviation ) .
we hope you find these useful .
regards ,
eugenio perez
risk analytics
energy operations