The ABC of PCA


Risk managers face the constant problem of determining when the benefits of new or more advanced statistical techniques outweigh the costs. Benefits of these techniques include greater accuracy in risk measures, faster calculation,or greater model flexibility. On the cost side, the risk manager must consider the calculation time required as well as the complexity of the proposed solution. Unfortunately, as solutions become more complex they become more difficult to explain, and the process itsel

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: