---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 03/06/2001 
09:52 AM ---------------------------


Tanya Tamarchenko
02/28/2001 01:17 PM
To: Wenyao Jia/HOU/ECT, Debbie R Brackett/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT 
Subject: Re: "analytical" var implementation in RisktRAC  

Debbie,
I am forwarding to you a 2 page document describing implementation of 
"analytical" VAR in RisktRAC.

Here is why this effort is very important:
1. We need to calculate VAR for other percentile but 5 (1% or even 0.2% as 
mentioned by Rick Buy)
and our simulation model can not handle required number of simulations;
2. We need to present additional risk measures (such as Mean Tail Loss) to 
the Board.

The analytical approach is implemented in a spreadsheet and fully tested 
already so there will be no problems
with the algorithm itself.

We need to get together and discuss IT implementation.

What do you think?

Tanya