re : var priorities vince
thanks for the quick response . agree on # 5 just bear in mind it says scope
not implement so it is more of a development of a project .
re ; mg i will keep tanya apprised of travel plans and give her the option to
be in or out as you two see fit .
ted
vince j kaminski
07 / 11 / 2000 03 : 57 pm
to : ted murphy / hou / ect @ ect
cc : tanya tamarchenko / hou / ect @ ect , vince j kaminski / hou / ect @ ect
subject : re : var priorities
ted ,
item # 5 will require help from it . my understanding is that currently we are
receiving the
positions aggregated to a daily level .
also , i talked to tanya about visiting mg in new york . she is leaving for
vacation on the 26 th of july
and can go for a day to nyc prior to this date .
i think that it makes a lot of sense for her to visit mg and to kick
the tires . i asked her to coordinate the trip with you : it makes sense
for both of you to go together . i may join you depending on my availability .
vince
from : ted murphy
07 / 11 / 2000 03 : 20 pm
to : vince j kaminski / hou / ect @ ect , john sherriff / lon / ect @ ect
cc :
subject : var priorities
vince / john ,
below is a brief summary of near - term projects for the enhancement of var and
the use of var . as you can tell some are not directly research issues ( some
require the guidance but not direct work product ) , and are very north
american wholesale - centric .
vince ,
i think that the only one in which progress requires your input to get kick
started is # 5 . all others are in progress with tanya / grant involved through
jeff shankman ' s regular meeting .
we would like to get your input as to your priorities ( we were thinking top
5 ? ) and then start knocking some of them out . it is not meant to be
exhaustive and is focused on fixes as opposed to overhauls .
thanks
ted
- - - - - - - - - - - - - - - - - - - - - - forwarded by ted murphy / hou / ect on 07 / 11 / 2000 03 : 10 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 .
re : var priorities
vince
thanks for the quick response . agree on # 5 just bear in mind it says scope
not implement so it is more of a development of a project .
re ; mg i will keep tanya apprised of travel plans and give her the option to
be in or out as you two see fit .
ted
vince j kaminski
07 / 11 / 2000 03 : 57 pm
to : ted murphy / hou / ect @ ect
cc : tanya tamarchenko / hou / ect @ ect , vince j kaminski / hou / ect @ ect
subject : re : var priorities
ted ,
item # 5 will require help from it . my understanding is that currently we are
receiving the
positions aggregated to a daily level .
also , i talked to tanya about visiting mg in new york . she is leaving for
vacation on the 26 th of july
and can go for a day to nyc prior to this date .
i think that it makes a lot of sense for her to visit mg and to kick
the tires . i asked her to coordinate the trip with you : it makes sense
for both of you to go together . i may join you depending on my availability .
vince
from : ted murphy
07 / 11 / 2000 03 : 20 pm
to : vince j kaminski / hou / ect @ ect , john sherriff / lon / ect @ ect
cc :
subject : var priorities
vince / john ,
below is a brief summary of near - term projects for the enhancement of var and
the use of var . as you can tell some are not directly research issues ( some
require the guidance but not direct work product ) , and are very north
american wholesale - centric .
vince ,
i think that the only one in which progress requires your input to get kick
started is # 5 . all others are in progress with tanya / grant involved through
jeff shankman ' s regular meeting .
we would like to get your input as to your priorities ( we were thinking top
5 ? ) and then start knocking some of them out . it is not meant to be
exhaustive and is focused on fixes as opposed to overhauls .
thanks
ted
- - - - - - - - - - - - - - - - - - - - - - forwarded by ted murphy / hou / ect on 07 / 11 / 2000 03 : 10 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 .