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Subject: RE: A question regarding your paper
Date: Wed, 30 May 2001 10:49:10 -0500
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From: "Kaminski, Vince J" <Vince.J.Kaminski@ENRON.com>
To: <emmer@sunstatistik4.mathematik.tu-muenchen.de>
Cc: <vkaminski@aol.com>
X-OriginalArrivalTime: 30 May 2001 16:01:48.0022 (UTC) FILETIME=[D4D3D960:01C0E921]

Susanne,

Thanks a lot for the answer to my question.

I shall work with the numbers at home tonight.=20

Congratulations to you and your colleagues on
a great paper and exciting work in the risk
management area.

Vince Kaminski

>  -----Original Message-----
> From: 	VKaminski@aol.com@ENRON
> [mailto:IMCEANOTES-VKaminski+40aol+2Ecom+40ENRON@ENRON.com]=20
> Sent:	Wednesday, May 30, 2001 6:59 AM
> To:	Kaminski, Vince J
> Subject:	Fwd: A question regarding your paper
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> Date: Wed, 30 May 2001 13:24:27 +0200 (MEST)
> From: Susanne Emmer <emmer@mathematik.tu-muenchen.de>
> Reply-To: Susanne Emmer <emmer@mathematik.tu-muenchen.de>
> Subject: Re: A question regarding your paper
> To: VKaminski@aol.com
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>=20
> Dear Mr. Kaminski,
>=20
> Thank you for your email concerning my paper on EVT and VaR.
> I have thought about your question:
>=20
> If you take formula (2.8) and plug in the parameters (u=3D10, =
N_u=3D56,
> beta=3D11.120
> chi=3D0.186, q=3D0.95, n=3D108) you get hat(x)=3D42.86 DM.
> Now we only have to explain the minus:
> If you look at figure 3, you see that we considered the absolute
> negative
> returns, i.e. we neglected the minus sign of these returns. but in the
> DRC we
> have to pay attention on the minus sign, since we consider returns,
> not only
> absolute returns. this is the reason for the minus in equation (3.10).
>=20
> I hope I could help you with this explanation.
>=20
> If you have further questions don't hesitate to ask me.
>=20
> Sincerely,
>=20
> Susanne Emmer
>=20
> ---------------------------------------------------------------------
> Susanne Emmer                  email:emmer@mathematik.tu-muenchen.de
> Zentrum Mathematik             Tel: +49 89 289 28241
> Technische Universitaet        Fax: +49 89 289 28464
> D-80290 Muenchen
> ---------------------------------------------------------------------
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>=20