The Application of Pca to Weather Derivative Portfolios
11 Pages Posted: 16 Jan 2004
Date Written: January 11, 2004
We describe the mathematics of PCA and give an example of how it can be used to identify the dominant patterns of variability in a weather derivative portfolio.
Keywords: weather derivatives, principal component analysis, PCA, EOF
JEL Classification: G13
Suggested Citation: Suggested Citation