backtesting graphs for semivariance var fyi . . .
- - - - - - - - - - - - - - - - - - - - - - forwarded by sheila glover / hou / ect on 03 / 09 / 2000 08 : 11
am - - - - - - - - - - - - - - - - - - - - - - - - - - -
enron north america corp .
from : samantha t davidson 03 / 08 / 2000 09 : 07 pm
to : ted murphy / hou / ect @ ect , david port / corp / enron @ enron
cc : tanya tamarchenko / hou / ect @ ect , sheila glover / hou / ect @ ect , william patrick
lewis / hou / ect @ ect , mike fowler / corp / enron @ enron
subject : backtesting graphs for semivariance var
per your request , please review the graphs below for comparision of
backtesting results between the current var model and the same model
using semivariance . in conclusion , the proposed var tuning ( rlpm )
backtests as well as the current method given the data sample used .
gary has requested that this method be approved and adopted
as the current method is not reflecting only the directional risk associated
with his positions . upon approval , method can be implemented immediately .
in thousands :
backtesting graphs for semivariance var
fyi . . .
- - - - - - - - - - - - - - - - - - - - - - forwarded by sheila glover / hou / ect on 03 / 09 / 2000 08 : 11
am - - - - - - - - - - - - - - - - - - - - - - - - - - -
enron north america corp .
from : samantha t davidson 03 / 08 / 2000 09 : 07 pm
to : ted murphy / hou / ect @ ect , david port / corp / enron @ enron
cc : tanya tamarchenko / hou / ect @ ect , sheila glover / hou / ect @ ect , william patrick
lewis / hou / ect @ ect , mike fowler / corp / enron @ enron
subject : backtesting graphs for semivariance var
per your request , please review the graphs below for comparision of
backtesting results between the current var model and the same model
using semivariance . in conclusion , the proposed var tuning ( rlpm )
backtests as well as the current method given the data sample used .
gary has requested that this method be approved and adopted
as the current method is not reflecting only the directional risk associated
with his positions . upon approval , method can be implemented immediately .
in thousands :