[R-SIG-Finance] Principal Component Analysis in Credit Risk

Chien, Josh-CH Josh-CH.Chien at nanshan.com.tw
Thu Sep 17 01:57:11 CEST 2015

Hi Amelia,
Sound like you will find the "key" word as trigger for default or not default of company.
Based on your information, I think Daniel's response is right. You should focus on factor model.
However, in my understanding, PCA is a statistical method to tell us every part's explanation, but every party can't be given any meaning on economic view.
If it's you want, just type "PCA in r / PCA in r library" in google search.
You will found a lot library to deal with this issue and take time to check for choosing one of them you need.

Risk Analytics & Projects
Risk Management Dept.
Nan Shan Life Insurance Co.
Email: Josh-CH.Chien at NANSHAN.com.tw
DID: +886-2-8758-9522

-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Amelia Marsh via R-SIG-Finance
Sent: Thursday, September 17, 2015 1:50 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] Principal Component Analysis in Credit Risk

Dear Forum,

I need some direction and guidance. This perhaps may sound a vague question, but I will try to be specific as far as possible.

Recently I came to know about text analysis in R. Assuming I have analysts reports regarding say 250 companies. I am aware that out of these 25 companies, 5 companies have defaulted. I have been asked to apply principal component analysis to each of these 25 companies to find out those words which if are occurring in say the 26th companies Analyst report, it will give me clear indication that this company will default.

I understand this is really a vague question. To begin with, can Principal Component Analysis be used for text and if yes, can someone give me some direction or source.



R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.

"NOTICE: The e-mail, and any attachments thereto, may contain legally privileged and/or other confidential information. If you have received it in error, please notify the sender by reply e-mail and immediately delete the e-mail and any attachments without copying or disclosing the contents. Thank you."

"注意:本電子郵件及其附件或含有機密性資訊,如 台端非本電子郵件之正確發送對象,請以電子郵件通知本電子郵件之發送者,並立即刪除本電子郵件及其附件,切勿複製或揭示、散佈之。謝謝您的合作!"

More information about the R-SIG-Finance mailing list