All-

Our next meeting is September 7 - Friday.  The VaR presentation was this morning and is included below.  With this in mind, now is good time to refocus on the task force objectives and deliverables listed below and come up with our action steps.  

The dial in number is 713.345.3786


Objectives
Ensure accuracy of the VaR number reported for all Enron business groups by:
Increasing understanding of the models, processes and systems involved in computing VaR
Identifying relevant input parameters used in the VaR computation and understanding how these are determined and fed into the VaR engine
Developing ways to easily identify exceptions / errors in the VaR computation process
Clarify roles and responsibilities in the VaR computation and reporting processes
Summarize and document findings by developing training materials for all concerned parties

Deliverables
Detailed documentation of systems, processes and information flows related to the VaR computation
VaR validation methodology
Operational validation - eg. exception reporting mechanism
Daily Change Analysis Report
Informational or Data validation - eg. Being able to explain daily VaR movements
Model validation - Back-testing, validation of parameters (curves, factors, correlations, etc)
List of roles and responsibilities for all concerned groups
Training materials for risk team members
Recommendations for future maintenance (of task force activities) and improvements



 

Have a good Labor Day!

Keith