Download This PaperPCA: Invariant Risk Metrics and Representation of Residuals for Bond Returns
9 Pages Posted: 9 May 2016 Last revised: 16 Sep 2016
Date Written: September 15, 2016
Abstract
We show how to build robust risk metrics for bond returns based on a global structure in the form of principal components and a novel quasi-local representation for the residuals.
Keywords: PCA, Principal Components, Bonds, Interest Rates, Convexity, Portfolio Management, Risk Management, Flylets
Suggested Citation: Suggested Citation
Musaelian, Kharen and Nagarajan, Santhanam and Villani, Dario, PCA: Invariant Risk Metrics and Representation of Residuals for Bond Returns (September 15, 2016). Available at SSRN: https://ssrn.com/abstract=2777026 or http://dx.doi.org/10.2139/ssrn.2777026
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