Hello,

I'm rather new to PCA, and I'm struggling to interpret and move forward with my output. The goal is to create a single proxy of bank risk using many bank-level variables (create a total score using the component factor scores). My struggle is with the the output after rotation (varimax).

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The benefit of rotation is that it become more easily to categorize and 'label' component. However, it does not seem straightforward here as the factor loadings are rather 'dispersed' and 'overlap' across traditional risk categories. Should I refrain from trying to categorize, take the output as it is and create my total risk scores? Or does this dispersion undermine the validity?