Timeline for PCA and risk bucketing
Current License: CC BY-SA 4.0
9 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Feb 23, 2022 at 15:05 | comment | added | SuavestArt | What's a good reference on building that bucketed PV01 report? I have a portftolio of bonds and interest rate futures. | |
| Sep 24, 2021 at 4:56 | comment | added | intern5ever | Hi tgeorge were you able to figure this out? Have the same question | |
| Nov 7, 2019 at 18:02 | answer | added | demully | timeline score: 2 | |
| Nov 7, 2019 at 8:31 | history | edited | tgeorge | CC BY-SA 4.0 |
Screenshot with buckets and vectors
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| Nov 6, 2019 at 18:06 | answer | added | Attack68♦ | timeline score: 3 | |
| Nov 6, 2019 at 8:56 | comment | added | tgeorge | @Jason: instead of monitoring all 40 buckets and their PV01's, reduce the number to a minimum (i.e 5) and have in mind that there are 5 tenors of the curve that have the major impact to the whole PV01. Then according to the curve movement I could have a proxy of the overall risk | |
| Nov 6, 2019 at 4:50 | comment | added | Benedict | Do a pca on the 40 columns of risk buckets? | |
| Nov 5, 2019 at 23:59 | comment | added | jason m | but what do you want this to give you in the end? what is the "thing" you want? | |
| Nov 5, 2019 at 21:39 | history | asked | tgeorge | CC BY-SA 4.0 |