Fixed Income Trading and Risk Management by Alexander Düring (ISBN 9781119756354)
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PCA shows up throughout Düring’s book. Chapter 33 is the dedicated tutorial: what it is, when to use levels vs changes, and why it beats ordinary regression for hedge ratios.
The second half of Chapter 6 is about principal components analysis. Instead of hedging bond A with bond B and hoping the relationship holds, PCA asks how the entire swap curve actually moves and builds hedges from that.
Financial Risk Management by Jimmy Skoglund and Wei Chen (ISBN 978-1-119-13551-7)
Linear and quadratic models are fast. But some positions laugh at Taylor expansions. Barrier options, exotics, and a thin slice of complex trades can drive most of the tail risk even when the rest of the book is plain vanilla. This section is where Skoglund and Chen say: stop approximating, reprice under scenarios.