Message-ID: <20920992.1075858458487.JavaMail.evans@thyme>
Date: Wed, 2 May 2001 20:37:00 -0700 (PDT)
From: frank.hayden@enron.com
To: vince.kaminski@enron.com, tanya.tamarchenko@enron.com
Subject: No Jump VaR results
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Jumps in Value-at-risk calc	
EFF_DTPORTFOLIO_IDDOWN95DOWN99	
01-May-01WEST-DPR-VAR    (26,683,222)     (38,279,807)	
01-May-01EAST-DPR-VAR    (34,670,131)     (53,329,980)	
01-May-01CAND-DPR-VAR    (12,252,860)     (17,699,660)	
01-May-01AGG-PWR-II    (50,494,023)     (72,905,916)	
  	
No jumps in Value-at-risk calc	
EFF_DTPORTFOLIO_IDDOWN95DOWN99	
01-May-01WEST-DPR-VAR    (25,713,174)     (37,131,448)	
01-May-01EAST-DPR-VAR    (33,426,547)     (49,507,233)	
01-May-01CAND-DPR-VAR    (12,345,632)     (18,726,559)	
01-May-01AGG-PWR-II    (48,061,924)     (66,560,550)	
  	
Diff in Value-at-risk calc between jumps and no jumps	
EFF_DTPORTFOLIO_IDDOWN95DOWN99	
01-May-01WEST-DPR-VAR          970,048         1,148,359 	
01-May-01EAST-DPR-VAR       1,243,584         3,822,748 	
01-May-01CAND-DPR-VAR           (92,771)       (1,026,900)	
01-May-01AGG-PWR-II       2,432,099         6,345,366 	
