Barry,

Stinson forwarded your message to me. I am meeting Ted Murphy today and I 
shall bring it up with him.
We have unit at Research (Tanya Tamarchenko, reporting to Grant Mason) who is 
responsible for
 V@R support.


Vince

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 06/29/2000 
10:28 AM ---------------------------


Stinson Gibner
06/29/2000 09:55 AM
To: Vince J Kaminski/HOU/ECT@ECT
cc:  
Subject: EBS VaR Transaction Policy

FYI

---------------------- Forwarded by Stinson Gibner/HOU/ECT on 06/29/2000 
09:54 AM ---------------------------


	Barry Pearce @ ENRON COMMUNICATIONS
	06/29/2000 09:09 AM
	
To: Stinson Gibner/HOU/ECT@ECT, Dale Surbey/LON/ECT@ECT, Ted 
Murphy/HOU/ECT@ECT
cc: Lou Casari/Enron Communications@Enron Communications, John Echols/Enron 
Communications@Enron Communications, Jim Fallon/Enron Communications@Enron 
Communications 
Subject: EBS VaR Transaction Policy

Hey you guys,

We are trying to implement a 'VaR transaction' policy - and would like your 
opinion.

This is going to be tough - because I'm not sure we have implemented a 
similiar policy across any of our other 'books' - that is - we looking to 
bring in all the accrual/operational assets as well as the MTM stuff 
(lambdas). To have a real-live 'configuration' of the system.

If assets/routes/servers etc...are added - what is the impact on the 'value' 
of the system and what it's worth. 

John has attached a draft below - for your review and thoughts.

I can see how this works in a trading environment - when you actually know 
the VaR of your whole trading portfolio. However - I've not seen this done 
with a mixture of MTM & accrual assets. Add the spice of a 'operational 
system' valuation  - and this will be tough to quantify and model.

Step 1 - configure system and value it 
Step 2 - calculate a VaR on this. We will need to do some work here!
Step 3 - calculate the incremental VaR of new deals/amendements/reconfigs etc 
- tough....

See what you think?

B.






	John Echols
	06/28/00 05:41 PM
		 
		 To: Jim Fallon/Enron Communications@Enron Communications, Barry Pearce/Enron 
Communications@Enron Communications, Lou Casari/Enron Communications@Enron 
Communications
		 cc: 
		 Subject: Policies

Here is a first rough draft of a "value @ risk" transaction policy.

I would like you to start looking at where we are going on the policy and get 
some early thinking going on limits for the V@R.  For example, should we 
effectively shut down all server relocations without approval,  or allow some 
level of MB of storage to be moved around or reconfigured?

I need some commercial and industry realism for this.  We may need Rick 
Paiste or your industry helpers (Marquardt, etc. to help us).

Barry,  Lou,  I need your input.