All Questions
Tagged with pca value-at-risk
6 questions
6
votes
2
answers
592
views
PCA for stand alone equity VaR
I am trying to compute equity VaR, forex VaR and total VaR on an international portfolio (10 stocks x 4 countries). Since I am not interested in the risk disaggregation among diffrent countries I was ...
- 61
4
votes
0
answers
201
views
VAR FPCA analysis paper replication
I've been trying to replicate the following publication: CONSISTENT FUNCTIONAL PCA FOR FINANCIAL TIME-SERIES, Sebastian Jaimungal, Eddie K. H. Ng, 2007
but I havent been able to get the same results ...
- 195
2
votes
1
answer
331
views
PCA on a portfolio of spot and forward contracts
I have a portfolio of spot and FX forwards on various currencies all based to AUD. I need to able to quantify how the changes in amount, tilt and curvature of the AUD curve would impact my p/l.
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- 61
1
vote
1
answer
169
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Why normalize only data for CDSs for PCA?
I'm reading a Credit Suisse Research Report on PCA.
The report says that to preprocess the data, you should "Centre data (and normalize when considering CDS data)."
Why would you only normalize ...
- 881
0
votes
0
answers
128
views
Dimension reduction of par risk strips
I saw some threads about reducing dimensionality of IR risk strips, e.g. PCA and risk bucketing.
However, I did not find a satisfying answer to that yet. Therefore, I decided to formulate a similar ...
- 903
0
votes
1
answer
433
views
PRIIP Category 3 Curves
Good evening,
I've tried searching similar posts, but most are unanswered or in a more advanced step than what I'm trying to achieve.
I've managed to do the boostrap method for spot prices ...