principal-component-analysis

  1. Nicole Seaman

    P1.T4.24.16. Integrating Principal Components and Key Rate Analysis

    Learning Objectives: Describe the principal components analysis and explain its use in understanding term structure movements. Calculate the KR01s of a portfolio given a set of key rates. Apply key rate analysis and principal components analysis to estimating portfolio volatility. Questions...
  2. Nicole Seaman

    P1.T2.23.2 Principal component analysis (PCA) and model complexity

    Learning objectives: Understand the differences between and consequences of underfitting and overfitting, and propose potential remedies for each. Use principal components analysis to reduce the dimensionality of a set of features. Questions: 23.2.1. Patricia is building a factor model for her...
  3. Nicole Seaman

    P2.T5.22.15. Fixed income regression and principal component analysis (PCA)

    Learning objectives: Calculate the face value of multiple offsetting swap positions needed to carry out a two-variable regression hedge. Compare and contrast level and change regressions. Describe principal component analysis and explain how it is applied to constructing a hedging portfolio...
    • Nicole Seaman
    • Thread
    • change-regression face-value fixed-income-regression hedging level-regression offsetting-swap-position principal-component-analysis regression-hedge
    • Replies: 0
    • Forum: FRM® Practice Questions
  4. Nicole Seaman

    P2.T6.705. Logistic regression and principal component analysis (PCA, De Laurentis)

    Learning objectives: Describe the application of a logistic regression model to estimate default probability. Define and interpret cluster analysis and principal component analysis. Questions: 705.1. Logistic regression is often used to predict whether a loan will default. For example, the...
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