Sanjeev,

We have to seriously rethink these sigma factors.  Since our system only has a product specific sigma, if we try to calculate a 90 day sigma factor we will see significant results which will not represent reality.  For example, if you take the 1 day sigma factor for West Power (18.97) over a 90 day period you will get results that are unreasonable for any short position.  If we sell power at $40 and the 90 day sigma factor is $175, you will get unreasonable results.  We need to think how we can build this given the limitations in the current EOL system.  For test tomorrow, I have recommended we use the existing 1 day sigma factors.  Let me know when you want to discuss.

Bill


 -----Original Message-----
From: 	Meredith, Kevin  
Sent:	Wednesday, February 06, 2002 4:30 PM
To:	Bradford, William S.
Cc:	Forster, David; Denny, Jennifer
Subject:	Sigma Factors

In the attached document, you will find the product types to be used and their associated sigma factors.

 

Kevin Meredith

EnronOnline
(713) 853-9555