Fletch,
 
The limits have been quoted using the 10d-99 measure. However, UBS will use all three measures.
 
In Portfolio #2, Gas risk overweighs Power risk. NG-R4 correlation is 60%. If you reduce your NG position, risk will come down. See portfolio 2a with 20,000/day of J-V 02 Gas. Also, see my simple square root of some of squares calc in the updated spreadsheet.
 
I will run Rob's scenarios sometime today and send it to you.
 
 
Vlady.

-----Original Message-----
From: Sturm, Fletcher J. 
Sent: Friday, February 01, 2002 7:16 AM
To: Gorny, Vladimir
Subject: RE: 


Vladimir,
 
Which measure are we going to be using at UBS?  VaR on portfolio #2 dosn't make sense to me that adding gas short to same position as #1c. increases risk.  What's up with that?  Also, could you forward the results from Rob Benson's portfolio's to me?  Thanks,
 
Fletch

-----Original Message-----
From: Gorny, Vladimir 
Sent: Thursday, January 31, 2002 3:44 PM
To: Sturm, Fletcher J.
Subject: RE: 


See attached. Let me know if you have questions.
 

-----Original Message-----
From: Sturm, Fletcher J. 
Sent: Wednesday, January 30, 2002 3:28 PM
To: Gorny, Vladimir
Cc: Sturm, Fletcher J.
Subject: 


 	  	  	  	  	  	
 	
 	
 	 Portfolio  #1	  	
 	
 	 a.)  Long 100 N-Q '02 Cin	  	
 	 b.)  Long 250 N-Q '02 Cin	  	
 	 c.)  Long 500 N-Q '02 Cin	  	
 	
 	 Portfolio  #2	  	
 	
 	 Long 500 N-Q '02 Cin	  	
 	 Short 30,000/d J-V '02 NG	  	
 	
 	 Portfolio  #3	  	
 	
 	 Long 500 N-Q '02 Cin	  	
 	 Short 250 N-Q '03 Cin	  	
 	
 	 Portfolio  #4	  	
 	
 	 Long 500 N-Q '02 Cin	  	
 	 Short 250 N-Q '02 PJM	  	
 	
 	 Portfolio  #5	  	
 	
 	 Long 300 N-Q '02 Cin	  	
 	 Short 500 U '02 Cin	  	
 	 Long 1,000 Q4 '02 Cin	  	
 	 Long 200 Cal '03 Cin