Re: VaR for EnronCredit.com ,
 Vince,
Thanks for effort.  Let me know what we need to do on this end 
Ted




Vince J Kaminski
11/10/2000 01:30 PM
To: Rick Buy/HOU/ECT@ECT, Ted Murphy/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT, Vasant Shanbhogue/HOU/ECT@ECT 
Subject: VaR for EnronCredit.com

Rick and Ted,

It looks more like foxes building chicken houses as opposed to foxes guarding 
chicken houses.

I shall send a message to Bryan saying that the Research has to look under 
the hood and examine the mechanics
of the model in order to sign off on it. A dog and pony show is not 
sufficient. In any case, the decision to approve
the model should not be left to Ben and Kirstee.

Please, let me know what your thinking is. 


Vince
---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 11/10/2000 
01:31 PM ---------------------------


Bryan Seyfried
11/10/2000 03:20 AM
To: Vince J Kaminski/HOU/ECT@ECT, Steven Leppard/LON/ECT@ECT
cc: Ted Murphy/HOU/ECT@ECT 
Subject: VaR for EnronCredit.com

Vince/Steve -- we are going to the Board in December to ask for formal 
limits.  As you know one of the key limits at the Board level is Value at 
Risk. To that end, it is imperative that you are comfortable with our 
approach for calculating VaR.  We have implemented a third party risk system 
which holds all of our positions and are in the process of putting the debt 
positions in.  The system has a VaR engine which is being demo'd by the 
vendor today.  Ben and Kirstee are attending the demo and if they find the 
technology acceptable, I propose moving forward with implemantion of the 
module.  Pls. let me know if this sounds reasonable and how you would 
envision implementing.

thanks
vince.kaminski@enron.com