Frank, 
I checked historical prices for R8. The vols posted by traders seem too high. 
This causes
high VAR numbers.


Tanya




Tanya Tamarchenko
05/03/2001 09:40 AM
To: Frank Hayden/Enron@EnronXgate
cc:  
Subject: Re:  

Frank,
portfolio POWER-NW-LT includes subportfolios EPMI-LT-NW-PR1 and 
EPMI-LT-NW-EX1.
The last one has VAR about 29M but when I look at the component VAR for 
POWER-NW-LT
there is no VAR corresponding to EPMI-LT-NW-EX1.

This is probably irrelevant to the question we need to resolve: why 
backtesting for POWER-NW-LT
does not look that good. Did you check that the prices behavior corresponds 
to high vols traders post?

Tanya