Subject: re : v @ r training sign - up list & misc info
the following comes to mind :
describe the inputs to var and the sources of the inputs
discuss enron ' s timing of running the var calculation
explain the diversification effect
explain that only officialized books are included in the var calculation
explain how enron uses the var for risk measurement , portfolio performance
analysis , individual trader analysis
address risk policy limits related to var
a comparison of enron ' s risk appetite , measured in var , vs . other financial
companies would be interesting
how does enron ' e use of var as a risk measurement tool compare with our
competitors ?
explain why the var engine would have different positions than our benchmark
reports .
discuss component var
discuss useful analyses enron can implement utilizing var ( sharpe ratio , var
efficiency , etc . )
hope this helps ,
mike
enron north america corp .
from : patti thompson 08 / 31 / 2000 04 : 11 pm
to : michael e moscoso / hou / ect @ ect
cc :
subject : v @ r training sign - up list & misc info
last chance for imput for v @ r classes . . .
i ' m bothering you about this because it seems to me that you are the one who
is so intimately involved w / v @ r and would understand possibilities here . .
thanks ,
pt
- - - - - - - - - - - - - - - - - - - - - - forwarded by patti thompson / hou / ect on 08 / 31 / 2000
04 : 09 pm - - - - - - - - - - - - - - - - - - - - - - - - - - -
enron north america corp .
from : patti thompson 08 / 31 / 2000 04 : 05 pm
to : gracie s presas / hou / ect @ ect
cc : tim o ' rourke / corp / enron @ enron
subject : v @ r training sign - up list & misc info
gracie ,
i have attached sign - up list . please order materials & make whatever
arrangements are necessary for both classes . we have 24 signed up for
9 / 14 - 15 session & 22 signed up for 9 / 21 - 22 session . i asked for comments on
how to tailor class to our particular area & only got 1 response :
give an overview of the information flow between systems to generate v @ r
( erms , enpower , grms , cas , spreadsheets ) . i don ' t think that everyone has a
good idea of how / where all the information comes from to run v @ r on a nightly
basis . where does information come from . what information is passed to v @ r .
how to determine underlying positions are correct . how to troubleshoot when
v @ r looks wrong .
sally ' s cost codes are :
company # : 0413
cost center # : 105588
please let me know what else you need from me .
thanks for your help ,
patti x 39106