uk power gas vince fyi oliver risk control london asking appropriate use set factors corresponding commodity another commodity mapping quite frequently var system forward prices commodity correlated poor price history think using kind mappings ok trust correlations based illiquid price information believed matrix low correlations represents goes market simply reconstruct 7 factors might use factors 7 matrix tanya tanya tamarchenko 12 15 2000 02 36 pm oliver gaylard lon ect ect cc david port market risk corp enron enron rudi zipter hou ect ect wenyao jia hou ect ect kirstee hewitt lon ect ect debbie r brackett hou ect ect naveen andrews corp enron enron subject uk power gas oliver completely agree validating var inputs like positions prices volatilities used risktrac first thing also rise valid question factor loadings commodity make sense use factor loadings another commodity factor loadings make sense correlations across term structure high believe forward prices commodity market prices statistical analysis prices produces correlations trust would proper use correlation matrix var engine factors using factors simply way speed calculations highly correlated prices without sacrificing accuracy tanya oliver gaylard 12 15 2000 07 11 naveen andrews corp enron enron cc david port market risk corp enron enron rudi zipter hou ect ect wenyao jia hou ect ect kirstee hewitt lon ect ect tanya tamarchenko hou ect ect ganapathy ramesh hou ect ect debbie r brackett hou ect ect subject uk power gas naveen regarding calculation uk vars risk trac agree using calculation engine commodity vars however focus solely uk ensure use risk trac continental power gas uk power gas nordic power use risk trac think following need resolved first implement right first time think incorrect consider risk trac numbers accurate since depends validity items positions delta gamma curve mapping need include positions including outside main risk systems positions curves mapping problem given feeds apart continental power uat spreadsheet feeds running price vol curves used risk systems inter commodity correlation prompt month correlation easy calculate given accurate complete data set however incomplete historic data europe risk trac prior formation task force would mean full data set needs obtained used term structure correlation would good understand difficult use calculation factor loadings think factor loadings calculated data sets used inter commodity correlation commodities analysis appear work sure using factor loadings markets adequate need consider alternative approach calculating var markets ensure moves forward think list mile stones responsibilities time lines needs drawn otherwise fear process moving across risk trac spreadsheet var experience slippage call today start process rgds oliver naveen andrews enron 06 12 2000 21 50 oliver gaylard lon ect ect cc david port market risk corp enron enron rudi zipter hou ect ect wenyao jia hou ect ect kirstee hewitt lon ect ect tanya tamarchenko hou ect ect ganapathy ramesh hou ect ect debbie r brackett hou ect ect subject uk power gas oliver couple issues pertaining uk power uk gas first notes pertains risk trac uk implementation 1 risktrac currently gas curves mapped nbp 2 power curves mapped r 4 cinergy factor loading analysis lends nbp norewgian curves reasons liquidity etc decided nbp cinergy best curves available time spreadsheet utilized uk also curves mapped 2 3 year old set factors derived us nat gas clearly optimal hence 1 using risktrac numbers var accurate terms ene wide model usage terms recent updated data ever since uk power came board risktrac 3 weeks ago uk power number consistently 7 8 mm numbers spreadsheet difference ecpected given different inputs 2 consistent numbers point data error obvious way however believe positions captured correctly please let staff know 3 checks ramesh done indicate positions tying however know could disconnects enpower etc event would ideal optimal simulations run risktrac reasons aggregation analysis help appreciated regards naveen