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Help with PCA for risk bucketing
- Thread starter Franjey
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PCA is a dimension reduction method. Do you have a regression problem so as to predict a variable based on independent factors?
Sorry but your question is a bit vague.
Sorry but your question is a bit vague.
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Use Bloomberg IRS data. This should be 3, 6, and 12m deposits and swaps out to 30 years. Reuters should have it too. I have assigned this problem many times.
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