var numbers for the 26 th hi vince ,
i apologise that i did not send you the following mail . . .
kirsteee
- - - - - - - - - - - - - - - - - - - - - - forwarded by kirstee hewitt / lon / ect on 28 / 07 / 2000
20 : 21 - - - - - - - - - - - - - - - - - - - - - - - - - - -
enron europe
from : kirstee hewitt 27 / 07 / 2000 20 : 33
to : andreas . barschkis @ mgusa . com
cc : bjorn hagelmann / hou / ect @ ect , grant masson / hou / ect @ ect
subject : var numbers for the 26 th
hi andreas ,
i have run the var model for the 26 th july and have attached a zip file of
the results :
the total var is $ 4 , 170 , 653 and the cu position is $ 1 , 852 , 876 .
i have had trouble getting hold of you so i thought i would summarised what i
wanted to talk about ( also i thought
i would give your ears a rest ! )
basically it is wrt the second point in your mail yesterday ( we briefly
discussed it earlier ) .
the fax you sent me to explain the risk calculation suggested that you use a
5 day period of adjustment to calculate
the risk ( in this case it is called capital at risk ) . the var calculation for
our model is for a one day holding period which means that your risk factor
will be reduced by a factor equal the sqrt ( 5 ) or 2 . 24 .
since :
old risk factor ( % ) = 1 . 65 * ( std of the price movement ) = 3 . 99 %
new daily risk factor = 3 . 99 / 2 . 24 = 1 . 78 % which actually equates to std
of approx 1 . 1 % a day .
i am happy with this as a estimate of the vol as the annualized spot vol we
are showing for cu is approx 19 % which equates to approx 1 . 2 % daily .
using this new risk factor for the daily var the cu positions would give a
var ( for the 19 th ) of approx $ 2 m which is less that the
figure we estimated ( $ 3 , 100 , 568 ) .
the other thing is that by taking net numbers we are disregarding the term
structure of the price curve / vol curve and position
curve and are hence collapsing everything into a one factor model which means
that it is difficult to compare the numbers .
i hope that this helps to explain our number .
hopefully we can talk tomorrow ,
cheers
kirstee
var numbers for the 26 th
hi vince ,
i apologise that i did not send you the following mail . . .
kirsteee
- - - - - - - - - - - - - - - - - - - - - - forwarded by kirstee hewitt / lon / ect on 28 / 07 / 2000
20 : 21 - - - - - - - - - - - - - - - - - - - - - - - - - - -
enron europe
from : kirstee hewitt 27 / 07 / 2000 20 : 33
to : andreas . barschkis @ mgusa . com
cc : bjorn hagelmann / hou / ect @ ect , grant masson / hou / ect @ ect
subject : var numbers for the 26 th
hi andreas ,
i have run the var model for the 26 th july and have attached a zip file of
the results :
the total var is $ 4 , 170 , 653 and the cu position is $ 1 , 852 , 876 .
i have had trouble getting hold of you so i thought i would summarised what i
wanted to talk about ( also i thought
i would give your ears a rest ! )
basically it is wrt the second point in your mail yesterday ( we briefly
discussed it earlier ) .
the fax you sent me to explain the risk calculation suggested that you use a
5 day period of adjustment to calculate
the risk ( in this case it is called capital at risk ) . the var calculation for
our model is for a one day holding period which means that your risk factor
will be reduced by a factor equal the sqrt ( 5 ) or 2 . 24 .
since :
old risk factor ( % ) = 1 . 65 * ( std of the price movement ) = 3 . 99 %
new daily risk factor = 3 . 99 / 2 . 24 = 1 . 78 % which actually equates to std
of approx 1 . 1 % a day .
i am happy with this as a estimate of the vol as the annualized spot vol we
are showing for cu is approx 19 % which equates to approx 1 . 2 % daily .
using this new risk factor for the daily var the cu positions would give a
var ( for the 19 th ) of approx $ 2 m which is less that the
figure we estimated ( $ 3 , 100 , 568 ) .
the other thing is that by taking net numbers we are disregarding the term
structure of the price curve / vol curve and position
curve and are hence collapsing everything into a one factor model which means
that it is difficult to compare the numbers .
i hope that this helps to explain our number .
hopefully we can talk tomorrow ,
cheers
kirstee