var numbers 26 th hi vince apologise send following mail kirsteee forwarded kirstee hewitt lon ect 28 07 2000 20 21 enron europe kirstee hewitt 27 07 2000 20 33 andreas barschkis mgusa com cc bjorn hagelmann hou ect ect grant masson hou ect ect subject var numbers 26 th hi andreas run var model 26 th july attached zip file results total var 4 170 653 cu position 1 852 876 trouble getting hold thought would summarised wanted talk also thought would give ears rest basically wrt second point mail yesterday briefly discussed earlier fax sent explain risk calculation suggested use 5 day period adjustment calculate risk case called capital risk var calculation model one day holding period means risk factor reduced factor equal sqrt 5 2 24 since old risk factor 1 65 std price movement 3 99 new daily risk factor 3 99 2 24 1 78 actually equates std approx 1 1 day happy estimate vol annualized spot vol showing cu approx 19 equates approx 1 2 daily using new risk factor daily var cu positions would give var 19 th approx 2 less figure estimated 3 100 568 thing taking net numbers disregarding term structure price curve vol curve position curve hence collapsing everything one factor model means difficult compare numbers hope helps explain number hopefully talk tomorrow cheers kirstee