---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 09/15/2000 
05:05 PM ---------------------------


Tanya Tamarchenko
09/01/2000 01:05 PM
To: Vince J Kaminski/HOU/ECT@ECT
cc:  
Subject: Re: vol model  




From: Pavel Zadorozhny on 08/31/2000 06:45 PM
To: Grant Masson/HOU/ECT@ECT, Tanya Tamarchenko/HOU/ECT@ECT, Naveen 
Andrews/Corp/Enron@ENRON
cc:  
Subject: vol model

It's been a while since I put this together. Some assumptions, such as those 
about the current VAR methodology may not be correct. But my ideas and the 
math involved are hopefully reasonable. Let me know if you have any questions.

Pavel, x34778