Frank, 
regarding simulating power prices in VAR we might discuss the following items
and show some results:
1. Clustering for power:
 - clustering based on historical prices and correlations from them;
 - geographical clustering;
 - flexibility in choosing "core curves" (based on position size);
2. Jump-diffusion process for intramonth and prompt month:
 - parameter estimation from historical data (do we want to use it?)
 - working out parameters (jumps frequency, jump size) as stress scenarios;
3. Correlations within a cluster and across clusters.
4. Changing correlations estimations (using fixed contact' time series).
5. Joint estimation of factors for selected regions.

Let me know what you think should be in the agenda for this meeting.

Regards,

Tanya 


From: Frank Hayden/ENRON@enronXgate on 04/18/2001 03:43 PM
To: Tanya Tamarchenko/HOU/ECT@ECT
cc:  
Subject: FW: Mtg. Scheduled

If you want, I welcome your help in putting together an agenda.

Frank

 -----Original Message-----
From:  Black, Tamara Jae  
Sent: Wednesday, April 18, 2001 3:32 PM
To: Presto, Kevin; Davis, Mark Dana; Sturm, Fletcher; Herndon, Rogers; 
Gilbert-Smith, Doug; White, Stacey; Kaminski, Vince; Andrews, Naveen; Belden, 
Tim; Gorny, Vladimir; Davenport, Lacrecia
Cc: Hayden, Frank
Subject: Mtg. Scheduled

Please mark your calendar for a meeting with:


Frank Hayden
Reg. Value @ Risk
April 26th
3 - 4pm
rm 3125b



Thanks 

Tjae Black
x35800