Vlady:
The plan looks good.  Can you please attach a time schedule to the different 
steps and send it back.
Thanks,
John


   
	
	
	From:  Vladimir Gorny                           07/17/2000 07:30 PM
	

To: John J Lavorato/Corp/Enron@Enron, Ted Murphy/HOU/ECT@ECT, Vince J 
Kaminski/HOU/ECT@ECT, John Arnold/HOU/ECT@ECT
cc:  
Subject: VaR Methodology Change

Gentlemen,

Below is a plan of action for moving along with the VaR methodology change 
related to forward-forward volatility:

1. Finalize the methodology proposed (Research/Market Risk)

 - determine the time period used to calculated forward-forward vols vs. 
correlations (20 days vs. 60 days)
 - stabilize the calculation for curves and time periods where the curve does 
not change based on historical prices, implying volatility of 0%

2. Get approval for the methodology change from Rick Buy (see draft of the 
memo attached) - John Lavorato and John Sherriff



3. Develop and implement the new methodology in a stage environment 
(Research/IT)

4. Test the new methodology (Market Risk, Traders)

5. Migrate into production (Research/IT)

Please let me know if this is reasonable and meets everyone's expectations. 
Vlady.