Information Technology Reference
In-Depth Information
SE
IRD
EDM
EDSA
ALCO
CM
MM
Figure 3.2
PCA biplot of 95% VAR of financial instruments constituting a portfolio.
Predictions of samples
2
and
16
are shown on the biplot. Notice also how the number
of markers on the axes has been changed by utilizing argument
n.int
.
Ta b l e 3 . 2
Predictions of VAR for sample
points
2
and
16
for the different instruments.
s2
s16
CM
−
0.789
−
2.803
IRD
−
1.280
−
1.082
MM
−
0.533
−
0.447
ALCO
−
0.318
−
0.471
SE
−
0.155
−
0.151
−
0.184
−
0.372
EDSA
−
−
EDM
3.374
0.156
day16
exhibiting a very large abs(VAR) of
CM
. This is the type of useful information
financial planners and managers need to notice. They can now research the circumstances
surrounding
EDM
at the beginning of the period and those of
CM
towards the end of
the period to suggest in future what circumstances lead to high risks on
EDM
and
CM
.
