Subject: regulatory var
tentative agenda for the research lunch meeting on wednesday , august 2 nd at
11 : 30 am :
objective : develop a methodology and a model for estimating risks of the ees
regulatory portfolio .
discussion items :
1 . elements of the regulatory portfolio
- transmission and distribution ( t & d ) positions
- bundled tariffs ( full utility tariffs that are in place prior to
deregulation )
- competitive transition charges ( ctc ) positions
- diversification between the three risk elements
2 . risk drivers in each bucket ( scott stoness of ees to provide more detail )
- t & d : interest rates
- bundled tariffs : regulatory decisions , power prices , interest rates ,
inflation
- ctc : power prices , fuel prices , generation valuation , generation stack ,
regulatory decisions
3 . position aggregation parameters ( scott stoness of ees to provide
suggestions )
- by nerc region
- by state
- by utility
- by utility tariff
4 . model environment
- excel
- grms / risktrac
- other
5 . var parameters
- correlations
- factor loadings ( 1 - factor model ? )
- other
6 . ees specific issues
- the size of ctc positions is impacted by the roll - off date , which is
subject to change due to a number of factors ( jump diffusion ? )
- t & d and bundled tariffs do not move daily , but rather once every 2 - 3 years
( event driven ? )
thanks , vlady .
ps : shirley , could you please make the lunch arrangements accordingly .