re : var for credit trading ted thanks for the note - coming from jpmorgan i understand the importance of var as a key control measure and i appreciate that we may all need to do further work to ' institutionalise ' a var culture in enron . however , in this instance , i believe the initial comment has been taken out of context . i believe there is a general communication issue here . since inception the business has been monitoring risk via the use of a cumulative sensitivity measure for the portfolio - expressed and reported as dvolon the daily dpr . however , no - one in rac / commercial / commercial support appears to have formally equated that sensitivity to the business var limit during the longer than expected delay to the completion of a signed off var model . ( informally this is being done ) i would have expected the business to utilise a crude ( and possibly necessarily overstated ) scaling factor based on the volatility of credit spread movements in the market and for rac to have signed off this scaling factor . bryan seyfield and david wall will propose this immediately . finally , i believe both commercial and commercial support for credit trading are reprioritising the work being completed for the model for var reporting - we should communicate the new delivery date as soon as possible . i look forward to discussing this and other rac / commercial support interface issues with you next week regards mike from : ted murphy 26 / 06 / 2000 14 : 50 to : sally beck / hou / ect @ ect , mike jordan / lon / ect @ ect , fernley dyson / lon / ect @ ect , bryan seyfried cc : rick buy , richard causey / corp / enron @ enron subject : re : var for credit trading please see the attached comment at the bottom of this string of e - mails . the privilege of using enron ' s balance sheet comes with the responsibility to adequately report the risk in the form that has been agreed to . it is appalling to me that we are currently incapable of calculating var in a product that has been approved for trading for several months . it is equally appalling that the support staff continues to be so unaware of the importance of this that the comments below could even be considered reasonable . obviously , the individual who made the comment is hardly responsible . it lies with both commercial and commercial support management . i know that airing this out in such a broad way appears to be harsh . this is not the point . this is not an isolated problem . it is not just pertaining to europe . please do not feel singled out . but the scrutiny and pressure on var as a measure of risk continues to grow at fast pace . we can hardly make any progress if this is the pervasive attitude . let ' s knock this stuff out one at a time . ted oliver gaylard 06 / 26 / 2000 08 : 34 am to : david port / market risk / corp / enron @ enron cc : chris abel / hou / ect @ ect , michael e moscoso / hou / ect @ ect , david a wall / risk mgmt / lon / ect @ ect , ted murphy / hou / ect @ ect subject : re : var for credit trading the var engine for credit trading is being built by research in london and it is intended that var be run daily as soon as they have produced / signed off on this . oliver from : david port @ enron 26 / 06 / 2000 14 : 24 to : chris abel / hou / ect @ ect cc : michael e moscoso / hou / ect @ ect , david a wall / risk mgmt / lon / ect @ ect , oliver gaylard / lon / ect @ ect , ted murphy / hou / ect @ ect subject : re : var for credit trading my view : prove its insignificant by calculating it every day , that ' s why the board approved the limit . dp chris abel @ ect 06 / 23 / 2000 07 : 41 am to : david port / market risk / corp / enron @ enron cc : michael e moscoso / hou / ect @ ect subject : var for credit trading fyi - - - - - - - - - - - - - - - - - - - - - - forwarded by chris abel / hou / ect on 06 / 23 / 2000 07 : 38 am - - - - - - - - - - - - - - - - - - - - - - - - - - - mary thambiah 06 / 23 / 2000 03 : 29 am to : chris abel / hou / ect @ ect cc : david a wall / risk mgmt / lon / ect @ ect subject : var for credit trading hi chris i talked with david yesterday and we don ' t think the risk is significant enough to start calculating a var number . however if you have any queries feel free to give him a call . rgds mary