---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 10/13/2000 
05:13 PM ---------------------------


Naveen Andrews@ENRON
09/21/2000 09:13 AM
To: Vince J Kaminski/HOU/ECT@ECT
cc:  
Subject: Equity Extremes

Vince,
             Herewith is a write-up I gave at the Research Meeting yesterday 
on the worst-case-loss efforts I have been working on for the Equities 
portfolio.  It is based on Wilmott's CrashMetrics and delta-gamma portfolio 
optimization.  The goal is to ascertain how much possible loss a portfolio 
can have, based on historical data.  Comments are welcome.

Regards
Naveen