Share 'How the ECB uses PCA to analyze Sovereign Bond Markets'
I have extracted 4 pages from the ECB FSR of June 2011 to a summary '.pdf' file;
these pages are a box in that FSR (if u are familiar with the FSR you will gettit); the box is titled;-
COMMON TRENDS IN EURO AREA SOVEREIGN CREDIT DEFAULT SWAP PREMIA
& it contains a beautiful & succint description of how the ECB uses the PCA technique in this space.
I have placed the summary file on a…
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