re : ebs var transaction policy that would be great .
b .
vince j kaminski @ ect
06 / 29 / 00 10 : 27 am
to : barry pearce / enron communications @ enron communications
cc : stinson gibner / hou / ect @ ect , tanya tamarchenko / hou / ect @ ect , grant
masson / hou / ect @ ect , vince j kaminski / hou / ect @ ect
subject : ebs var transaction policy
barry ,
stinson forwarded your message to me . i am meeting ted murphy today and i
shall bring it up with him .
we have unit at research ( tanya tamarchenko , reporting to grant mason ) who is
responsible for
v @ r support .
vince
- - - - - - - - - - - - - - - - - - - - - - forwarded by vince j kaminski / hou / ect on 06 / 29 / 2000
10 : 28 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
stinson gibner
06 / 29 / 2000 09 : 55 am
to : vince j kaminski / hou / ect @ ect
cc :
subject : ebs var transaction policy
fyi
- - - - - - - - - - - - - - - - - - - - - - forwarded by stinson gibner / hou / ect on 06 / 29 / 2000
09 : 54 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
barry pearce @ enron communications
06 / 29 / 2000 09 : 09 am
to : stinson gibner / hou / ect @ ect , dale surbey / lon / ect @ ect , ted
murphy / hou / ect @ ect
cc : lou casari / enron communications @ enron communications , john echols / enron
communications @ enron communications , jim fallon / enron communications @ enron
communications
subject : ebs var transaction policy
hey you guys ,
we are trying to implement a ' var transaction ' policy - and would like your
opinion .
this is going to be tough - because i ' m not sure we have implemented a
similiar policy across any of our other ' books ' - that is - we looking to
bring in all the accrual / operational assets as well as the mtm stuff
( lambdas ) . to have a real - live ' configuration ' of the system .
if assets / routes / servers etc . . . are added - what is the impact on the ' value '
of the system and what it ' s worth .
john has attached a draft below - for your review and thoughts .
i can see how this works in a trading environment - when you actually know
the var of your whole trading portfolio . however - i ' ve not seen this done
with a mixture of mtm & accrual assets . add the spice of a ' operational
system ' valuation - and this will be tough to quantify and model .
step 1 - configure system and value it
step 2 - calculate a var on this . we will need to do some work here !
step 3 - calculate the incremental var of new deals / amendements / reconfigs etc
- tough . . . .
see what you think ?
b .
john echols
06 / 28 / 00 05 : 41 pm
to : jim fallon / enron communications @ enron communications , barry pearce / enron
communications @ enron communications , lou casari / enron communications @ enron
communications
cc :
subject : policies
here is a first rough draft of a " value @ risk " transaction policy .
i would like you to start looking at where we are going on the policy and get
some early thinking going on limits for the v @ r . for example , should we
effectively shut down all server relocations without approval , or allow some
level of mb of storage to be moved around or reconfigured ?
i need some commercial and industry realism for this . we may need rick
paiste or your industry helpers ( marquardt , etc . to help us ) .
barry , lou , i need your input .
re : ebs var transaction policy
that would be great .
b .
vince j kaminski @ ect
06 / 29 / 00 10 : 27 am
to : barry pearce / enron communications @ enron communications
cc : stinson gibner / hou / ect @ ect , tanya tamarchenko / hou / ect @ ect , grant
masson / hou / ect @ ect , vince j kaminski / hou / ect @ ect
subject : ebs var transaction policy
barry ,
stinson forwarded your message to me . i am meeting ted murphy today and i
shall bring it up with him .
we have unit at research ( tanya tamarchenko , reporting to grant mason ) who is
responsible for
v @ r support .
vince
- - - - - - - - - - - - - - - - - - - - - - forwarded by vince j kaminski / hou / ect on 06 / 29 / 2000
10 : 28 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
stinson gibner
06 / 29 / 2000 09 : 55 am
to : vince j kaminski / hou / ect @ ect
cc :
subject : ebs var transaction policy
fyi
- - - - - - - - - - - - - - - - - - - - - - forwarded by stinson gibner / hou / ect on 06 / 29 / 2000
09 : 54 am - - - - - - - - - - - - - - - - - - - - - - - - - - -
barry pearce @ enron communications
06 / 29 / 2000 09 : 09 am
to : stinson gibner / hou / ect @ ect , dale surbey / lon / ect @ ect , ted
murphy / hou / ect @ ect
cc : lou casari / enron communications @ enron communications , john echols / enron
communications @ enron communications , jim fallon / enron communications @ enron
communications
subject : ebs var transaction policy
hey you guys ,
we are trying to implement a ' var transaction ' policy - and would like your
opinion .
this is going to be tough - because i ' m not sure we have implemented a
similiar policy across any of our other ' books ' - that is - we looking to
bring in all the accrual / operational assets as well as the mtm stuff
( lambdas ) . to have a real - live ' configuration ' of the system .
if assets / routes / servers etc . . . are added - what is the impact on the ' value '
of the system and what it ' s worth .
john has attached a draft below - for your review and thoughts .
i can see how this works in a trading environment - when you actually know
the var of your whole trading portfolio . however - i ' ve not seen this done
with a mixture of mtm & accrual assets . add the spice of a ' operational
system ' valuation - and this will be tough to quantify and model .
step 1 - configure system and value it
step 2 - calculate a var on this . we will need to do some work here !
step 3 - calculate the incremental var of new deals / amendements / reconfigs etc
- tough . . . .
see what you think ?
b .
john echols
06 / 28 / 00 05 : 41 pm
to : jim fallon / enron communications @ enron communications , barry pearce / enron
communications @ enron communications , lou casari / enron communications @ enron
communications
cc :
subject : policies
here is a first rough draft of a " value @ risk " transaction policy .
i would like you to start looking at where we are going on the policy and get
some early thinking going on limits for the v @ r . for example , should we
effectively shut down all server relocations without approval , or allow some
level of mb of storage to be moved around or reconfigured ?
i need some commercial and industry realism for this . we may need rick
paiste or your industry helpers ( marquardt , etc . to help us ) .
barry , lou , i need your input .