Frank, 
I checked historical prices for R8. The vols posted by traders seem too high. This causes
high VAR numbers.
 

Tanya




Tanya Tamarchenko
05/03/2001 09:40 AM
To:	Frank Hayden/Enron@EnronXgate
cc:	 
Subject:	Re:   

Frank,
portfolio POWER-NW-LT includes subportfolios EPMI-LT-NW-PR1 and EPMI-LT-NW-EX1.
The last one has VAR about 29M but when I look at the component VAR for POWER-NW-LT
there is no VAR corresponding to EPMI-LT-NW-EX1.

This is probably irrelevant to the question we need to resolve: why backtesting for POWER-NW-LT
does not look that good. Did you check that the prices behavior corresponds to high vols traders post?

Tanya




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