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strange - still no email from garp..... poor guys who still have to wait for their results...

http://www.garp.org/frm/exam-results/exam-results.aspx

passed part II :) no more studying :):) 11212

Can anyone confirm that in the original reading (Dowd?) ES is characterized as being not easy to understand? Maybe it was just a interpretation of the Schweser guys..

I did the same - as I had no idea about which formula to use I just guessed that the same amount of $ that's generated by the mortgage pool (-fees) has to be shared by the tranches. The resulting formula was something like: (LIBOR + 90 -12)*200=75*(LIBOR+45)+125*(LIBOR+X)

I really hated this one. Every answer seemed false. "Invest in strategy which is negatively correlated with tail risk" sounded right. But it was something like "Invest in strategy which is negatively correlated with tail risk like call options on S&P 500". But as the portfolio was long...

+99 bp as well :(

Yes, as the value of the asian option depends on the average stock price until expiration, 5 days before expiration the payoff is pretty much fixed. Even if the stock price falls to zero on the last day, the influence on the payoff will be quite small. => delta very close to 0