Message-ID: <16214720.1075856642515.JavaMail.evans@thyme>
Date: Mon, 31 Jul 2000 09:05:00 -0700 (PDT)
From: vladimir.gorny@enron.com
To: grant.masson@enron.com, vince.kaminski@enron.com, naveen.andrews@enron.com, 
	pinnamaneni.krishnarao@enron.com, scott.stoness@enron.com, 
	david.foti@enron.com, john.neslage@enron.com, minal.dalia@enron.com, 
	andy.knight@enron.com
Subject: Regulatory VaR
Cc: shirley.crenshaw@enron.com
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Tentative agenda for the Research Lunch meeting on Wednesday, August 2nd at 
11:30 am:

Objective: Develop a methodology and a model for estimating risks of the EES 
Regulatory portfolio.

Discussion Items:

1. Elements of the Regulatory portfolio

 - Transmission and Distribution (T&D) Positions
 - Bundled Tariffs (full utility tariffs that are in place prior to 
deregulation)
 - Competitive Transition Charges (CTC) Positions
 - Diversification between the three risk elements

2. Risk drivers in each bucket (Scott Stoness of EES to provide more detail)

 - T&D: interest rates
 - Bundled Tariffs: regulatory decisions, power prices, interest rates, 
inflation
 - CTC: power prices, fuel prices, generation valuation, generation stack, 
regulatory decisions

3. Position aggregation parameters (Scott Stoness of EES to provide 
suggestions)

 - by NERC Region
 - by state
 - by utility
 - by utility tariff

4. Model environment

 - Excel
 - GRMS/RisktRAC
 - Other

5. VaR Parameters

 - correlations
 - factor loadings (1-factor model?)
 - other

6. EES specific issues

 - The size of CTC positions is impacted by the roll-off date, which is 
subject to change due to a number of factors (jump diffusion?)
 - T&D and Bundled Tariffs do not move daily, but rather once every 2-3 years 
(event driven?)

Thanks, Vlady.

PS: Shirley, could you please make the lunch arrangements accordingly.