eprm article chris well written serve reader well comments 1 think taxonomy var models typically use classification based 3 categories variance covariance method b historical simulation c monte carlo simulation delta approach way representing position nonlinear instrument 2 would define monte carlo approach based statistical simulation behavior market prices rates etc revaluation entire portfolio revaluation may based approximation using taylor expansion may involve delta delta gamma delta gamma omega may exact based model produces mark market portfolio valuations main benefit using mc simulation energy markets ability capture gapping behavior energy markets straightforward way would emphasize attempts incorporate jumps v c model shall send references home 3 would mention historical simulation may break markets evolving quickly new instruments comparable prices behavior prices may change markets mature de mature 4 bigger portfolios virtually methods require level aggregation atomic elemental instruments reduce dimensionality problem process may source big error 5 computational burden mc reduced clever preprocessing portfolio introduces error many swaps underlying aggregated one positions portfolios forwards linear instruments please feel free use comment none vince chris strickland 08 28 2000 02 58 56 pm please respond chris strickland cc subject eprm article dear vince think might able look next day robin something end week best regards chris eprm _ 01 _ var doc