(PCA). The European Union countries are being encouraged to adopt PCA by policy analysts who explicitly call for its … adoption. To date, most of the discussion on PCA has focused on its overall merits. This paper focuses on the preconditions … needed for the adoption of an effective PCA. These preconditions include conceptual elements such as a prudential supervisory …

Principal Component Analysis (PCA) is a common procedure for the analysis of financial market data, such as implied … volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be … with foreign exchange option markets. For this matrix structure, PCA effects which are interpreted as shift, skew and …