I'm free from 4:00-5:00 today


   
	
	
	From:  Vladimir Gorny                           07/10/2000 02:14 PM
	

To: John Arnold/HOU/ECT@ECT
cc: Tanya Tamarchenko/HOU/ECT@ECT, Frank Hayden/Corp/Enron@Enron 
Subject: Forward-forward Vol

John,

Per your and Jeff's request, Research and Market Risk Groups have conducted 
an extensive analysis of the forward-forward vol methodology used in the 
Value-at-Risk calculation. 

We analyzed and compared two methodologies: 

 the existing methodology - based on forward (implied) vols
 an alternative methodology - based on historical vols

I would like to schedule about 30 minutes to walk you through the pros and 
cons of each methodology and get your input.

Vlady.