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John A Morrison's Blog Posts Tagged 'PCA' (1)

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 url on my website (for…

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Added by John A Morrison on July 27, 2012 at 11:15am — No Comments

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