FW: Summary of meeting ,
 -----Original Message-----
From: 	Lew, Jaesoo  
Sent:	Tuesday, December 04, 2001 2:39 PM
To:	Kaminski, Vince J
Subject:	RE: Summary of meeting

Vince,

I took the curve shift P&L from the RMS database and prompt month volatility for both GAS and POWER for the period of Aug-2000 to Aug-2001.
In case POWER, volatility has relationship with VAR but less likely with P&L.  For GAS volatility, the correlation with VAR is weaker than the case of POWER and also low relationship with P&L.

   
Thanks.

Jaesoo

 -----Original Message-----
From: 	Kaminski, Vince J  
Sent:	Tuesday, December 04, 2001 10:40 AM
To:	Shanbhogue, Vasant; Bharati, Rakesh; Tamarchenko, Tanya; Raymond, Maureen; Lew, Jaesoo
Subject:	FW: Summary of meeting



 -----Original Message-----
From: 	Desai, Jayshree  
Sent:	Tuesday, December 04, 2001 10:31 AM
To:	Kaminski, Vince J
Cc:	Wadlington, Mark
Subject:	Summary of meeting

Hello Vince,

I thought that I would take the liberty to summarize our request after our meeting this morning:

Volatilities per commodity
Electricity
Natural Gas
Crude Oil (strip proxy?)
Aluminum (strip proxy?)
Copper (stip proxy?)
Fixed Income (US 10 year treasuries as a proxy?)
Equities (S&P 500 as a proxy?)
Currencies ($, yen or DM as a proxy)
Cross correlation matrix for each commodity with every other commodity
Correlation of power and gas volatility to Enron's trading earnings
Comparable analysis of Enron ROVAR to other trading organizations (e.g. banks, hedge funds, etc..)
Analysis of amount of economic capital versus cash in order to support a certain VAR


If there is anything that we can do in order to help with the request, please let me know.  Again thank you very much for all of your help.  

Regards,
Jayshree Desai
x3-3290

ps   Mark and I enjoyed the opportunity to pick your brains.
rakesh.bharati@enron.com, tanya.tamarchenko@enron.com