re : uk portfolios and books setup in risktrac tanya
the books were set up incorrectly when the spreadsheet feeds were
implemented . this has since been corrected . currently the european risk trac
numbers do not feed into the corporate reporting of var .
the books should now contain gas exposures in uk gas and power in uk power
and have no duplication .
i have previously discussed with naveen and kirstee that it would be a good
idea if we set up a regular meeting to projecct manage the implementation of
european var numbers , from risk trac , into the daily reporting . if you have
no objections i suggest we discuss this at the next weekly rac / research
meeting .
rgds
oliver
tanya tamarchenko
03 / 01 / 2001 21 : 05
to : david port / market risk / corp / enron @ enron , vince j kaminski / hou / ect @ ect
cc : kirstee hewitt / lon / ect @ ect , oliver gaylard / lon / ect @ ect
subject : re : uk portfolios and books setup in risktrac
david and vince ,
in my e - mail below i pointed out to a inconsistency in the portfolio
hierarchy for uk positions in risktrac that i found out ,
namely : some books ( for example elsb 1 and elsb 2 ) belong to uk - gas portfolio
and to uk - power portfolio .
i wanted to clarify this in order to reconcile positions in risktrac and in
the spreadsheet .
tanya .
tanya tamarchenko
01 / 03 / 2001 02 : 09 pm
to : naveen andrews / corp / enron @ enron , matthew adams / corp / enron @ enron
cc : rabi de / na / enron @ enron , jaesoo lew / na / enron @ enron , vince j
kaminski / hou / ect @ ect
subject : re : uk portfolios and books setup in risktrac
naveen and matthew ,
i started looking systematically through uk positions and corresponding var
numbers in the risckrac .
i found a few inconsistencies so far .
1 . the portfolio elsb 1 - nbp has a book elsb 1 under it . the sum of delta
positions for this book is
239 , 021 , 655 , the sum of gamma positions is - 211 , 031 , 450 . var for the
portfolio elsb 1 - nbp is zero .
the same refers to a few other portfolios , for example elsb 2 - nbp , elsb 3 - nbp ,
e 2 xxl - nbp .
2 . the portfolio elsbp 1 - ppp also has the book elsb 1 under it . this book
contains the positions on pppwdl
through pppwd 6 and pppwel through pppwe 4 .
the same refers to the other books , for example elsb 2 .
this looks messy . can someone in rac go over all the portfolios , all the
corresponding books and curves
in risktrac and make sure they are set up properly ?
thank you ,
tanya .