Principal Component Analysis – Practical guide for use in Finance
This introductory talk explains PCA in detail giving a practical simple spreadsheet example to show exactly how the method works. Each step of the spreadsheet is talked through and attendees get a copy of the spreadsheet themselves
The background to PCA is given as well a derivation of the approach. Various applications are talked through as well as key limitations which can help determine when it is an appropriate method to use.
James Sharpe is an actuary with over 20 years of experience. He has worked on the calibration of a number of Internal Models and authored a number of industry and academic papers including “Uncertainty in functional principal component analysis”.
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