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shady, the question on securitization I listed above was different from the O/C question. On the O/C question I picked the excess spread answer.

yes, sum of durations for IO and PO must equal that of MBS

chose the answer that said 10m threshold for this client is too low and should be revised

Regarding the question about what is not part of the building block of economic capital ... Was it economic capital or regulatory capital? That will be important in answering the question. Not sure about the answer on that one, but my thought was that mkt risk, credit risk and operational risk...

klartxt, thanks. If you think of the volatility spread factor as a z-value for the spread it makes perfect sense to me. Didnt think of it this way in the exam, too bad

tracking errors for stocks A and B were given, so you could re-calculate IR with the adjusted excess returns for stocks A and B

here a few more questions I remember and the answers I picked - How to best mitigate systemic risk - Answ. Insure senior tranches of securitizations - Modified duration of a 15y semi-annual compounding zero bond - Answ. 14.5 - Impact of new products - Answ. new products can alter fundamentals...

klartxt, after going through the answers the first time I also thought that none of the answers can be correct. So what I finally did is to adjust the given past returns of the market fund (7% I think it was) with the betas of stock A and B (0.8 and 0.9 I believe) in order to get some forward...