Message-ID: <13968101.1075858480491.JavaMail.evans@thyme>
Date: Thu, 31 May 2001 07:32:05 -0700 (PDT)
From: kaminski@enron.com
To: vkaminski@aol.com
Subject: FW: Warning: could not send message for past 12 hours
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
X-From: Kaminski, Vince J
X-To: 'vkaminski@aol.com'
X-cc: 
X-bcc: 
X-Folder: \Vince_Kaminski_Jun2001_10\Sent Items
X-Origin: Kaminski-V
X-FileName: vkamins.pst



 -----Original Message-----
From: 	Mail Delivery Subsystem <Mailer-Daemon@postmaster.enron.com>@ENRON [mailto:IMCEANOTES-Mail+20Delivery+20Subsystem+20+3CMailer-Daemon+40postmaster+2Eenron+2Ecom+3E+40ENRON@ENRON.com] 
Sent:	Wednesday, May 30, 2001 11:05 PM
To:	Kaminski, Vince J
Subject:	Warning: could not send message for past 12 hours

    **********************************************
    **      THIS IS A WARNING MESSAGE ONLY      **
    **  YOU DO NOT NEED TO RESEND YOUR MESSAGE  **
    **********************************************

The original message was received at Wed, 30 May 2001 11:02:02 -0500 (CDT)
from mailman.enron.com [192.168.189.66]

   ----- The following addresses had transient non-fatal errors -----
<emmer@sunstatistik4.mathematik.tu-muenchen.de>

   ----- Transcript of session follows -----
<emmer@sunstatistik4.mathematik.tu-muenchen.de>... Deferred: Connection timed out with sunstatistik4.mathematik.tu-muenchen.de.
Warning: message still undelivered after 12 hours
Will keep trying until message is 5 days old

   ----- Original message follows -----

Return-Path: <Vince.J.Kaminski@enron.com>
Received: from mailman.enron.com (mailman.enron.com [192.168.189.66])
	by postmaster.enron.com (8.10.1/8.10.1/external_corp-1.08) with ESMTP id f4UG22622540
	for <emmer@sunstatistik4.mathematik.tu-muenchen.de>; Wed, 30 May 2001 11:02:02 -0500 (CDT)
Received: from corp.enron.com ([192.168.110.110])
	by mailman.enron.com (8.10.1/8.10.1/corp-1.06) with ESMTP id f4UG21L09189
	for <emmer@sunstatistik4.mathematik.tu-muenchen.de>; Wed, 30 May 2001 11:02:01 -0500 (CDT)
Received: from nahou-mscnx04p.corp.enron.com (unverified) by corp.enron.com
 (Content Technologies SMTPRS 4.2.1) with SMTP id <T53d5c194dac0a86e6e238@corp.enron.com>;
 Wed, 30 May 2001 11:01:59 -0500
Received: from nahou-msmbx03v.corp.enron.com ([192.168.110.41]) by nahou-mscnx04p.corp.enron.com with Microsoft SMTPSVC(5.0.2195.1600);
	 Wed, 30 May 2001 11:01:47 -0500
X-MimeOLE: Produced By Microsoft Exchange V6.0.4418.65
content-class: urn:content-classes:message
Subject: RE: A question regarding your paper
Date: Wed, 30 May 2001 10:49:10 -0500
MIME-Version: 1.0
Content-Type: text/plain;
	charset="iso-8859-1"
Content-Transfer-Encoding: quoted-printable
Message-ID: <31738B46B7BD864080808A19977D9F75121EEF@NAHOU-MSMBX03V.corp.enron.com>
X-MS-Has-Attach:
X-MS-TNEF-Correlator:
Thread-Topic: Fwd: A question regarding your paper
Thread-Index: AcDo/+5Wlu0KVFTxEdWxCABQi+MJ2QAH8LMw
From: "Kaminski, Vince J" <Vince.J.Kaminski@ENRON.com>
To: <emmer@sunstatistik4.mathematik.tu-muenchen.de>
Cc: <vkaminski@aol.com>
X-OriginalArrivalTime: 30 May 2001 16:01:48.0022 (UTC) FILETIME=[D4D3D960:01C0E921]

Susanne,

Thanks a lot for the answer to my question.

I shall work with the numbers at home tonight.=20

Congratulations to you and your colleagues on
a great paper and exciting work in the risk
management area.

Vince Kaminski

>  -----Original Message-----
> From: 	VKaminski@aol.com@ENRON
> [mailto:IMCEANOTES-VKaminski+40aol+2Ecom+40ENRON@ENRON.com]=20
> Sent:	Wednesday, May 30, 2001 6:59 AM
> To:	Kaminski, Vince J
> Subject:	Fwd: A question regarding your paper
>=20
>=20
>=20
> Return-Path: <emmer@sunstatistik4.mathematik.tu-muenchen.de>
> Received: from  rly-xd05.mx.aol.com (rly-xd05.mail.aol.com
> [172.20.105.170]) by air-xd03.mail.aol.com (v77_r1.36) with ESMTP;
> Wed, 30 May 2001 07:24:40 -0400
> Received: from  sunrbg2.mathematik.tu-muenchen.de
> (sunrbg2.mathematik.tu-muenchen.de [131.159.68.4]) by
> rly-xd05.mx.aol.com (v77_r1.36) with ESMTP; Wed, 30 May 2001 07:24:32
> -0400
> Received: from sunstatistik4.mathematik.tu-muenchen.de
> (sunstatistik4.mathematik.tu-muenchen.de [131.159.68.134])	by
> sunrbg2.mathematik.tu-muenchen.de (8.9.1/8.9.1) with ESMTP id NAA12185
> for <VKaminski@aol.com>; Wed, 30 May 2001 13:24:29 +0200 (MEST)
> Received: from localhost (localhost [127.0.0.1])	by
> sunstatistik4.mathematik.tu-muenchen.de (8.9.1/8.9.1) with SMTP id
> NAA17602	for <VKaminski@aol.com>; Wed, 30 May 2001 13:24:27 +0200
> (MEST)
> Message-Id:
> <200105301124.NAA17602@sunstatistik4.mathematik.tu-muenchen.de>
> Date: Wed, 30 May 2001 13:24:27 +0200 (MEST)
> From: Susanne Emmer <emmer@mathematik.tu-muenchen.de>
> Reply-To: Susanne Emmer <emmer@mathematik.tu-muenchen.de>
> Subject: Re: A question regarding your paper
> To: VKaminski@aol.com
> MIME-Version: 1.0
> Content-Type: text/plain; charset=3D"us-ascii"
> Content-MD5: hhhySEYulRj80k19u1mmaQ=3D=3D
> X-Mailer: dtmail 1.3.0 @(#)CDE Version 1.4.2 SunOS 5.8 sun4u sparc
>=20
> Dear Mr. Kaminski,
>=20
> Thank you for your email concerning my paper on EVT and VaR.
> I have thought about your question:
>=20
> If you take formula (2.8) and plug in the parameters (u=3D10, =
N_u=3D56,
> beta=3D11.120
> chi=3D0.186, q=3D0.95, n=3D108) you get hat(x)=3D42.86 DM.
> Now we only have to explain the minus:
> If you look at figure 3, you see that we considered the absolute
> negative
> returns, i.e. we neglected the minus sign of these returns. but in the
> DRC we
> have to pay attention on the minus sign, since we consider returns,
> not only
> absolute returns. this is the reason for the minus in equation (3.10).
>=20
> I hope I could help you with this explanation.
>=20
> If you have further questions don't hesitate to ask me.
>=20
> Sincerely,
>=20
> Susanne Emmer
>=20
> ---------------------------------------------------------------------
> Susanne Emmer                  email:emmer@mathematik.tu-muenchen.de
> Zentrum Mathematik             Tel: +49 89 289 28241
> Technische Universitaet        Fax: +49 89 289 28464
> D-80290 Muenchen
> ---------------------------------------------------------------------
>=20
>=20