CreditCruncher
CreditCruncher is a program that uses the Monte Carlo method to compute the credit risk of large portfolios in which assets are mortgages, loans, bonds, endorsements, or the like (all of them of fixed income with a policy buy/sell and hold). The default time is simulated using a gaussian copula, taking into account the transition matrix (or survival function) and sectorial correlation matrix defined by the user.
| Tags | Office/Business Financial Scientific/Engineering Mathematics |
|---|---|
| Licenses | GPL |
| Operating Systems | Mac OS X Windows Windows POSIX |
| Implementation | C++ |
Recent releases
- 26 Dec 2008 11:12
Changes: This release adds a long-awaited feature: the t-Student copula generator. Additionally, a severe bug in the gaussian copula generator was fixed, which changes the output data format and beautifies the risk report.
- 02 Sep 2008 20:57
Changes: Minor bugfixes. Updated versions of dependencies and tools (expat, open-mpi, gcc, and MSVC).
- 14 Aug 2007 05:48
Changes: The documentation has been rewritten from scratch and translated to English. The asset losses algorithm was revised. Minor bugs were fixed, minor enhancements were made, and the site's look and feel was changed.
- 09 Dec 2006 11:20
Changes: This is the first stable version. ccruncher was checked that it compiles and runs fine with open-mpi. Minor bugs were solved. The versions of dependencies were updated.
- 11 Feb 2006 07:43
Changes: This release removes experimental resolution methods, modifies the value algorithm, refactors the code, updates the third party libraries, and corrects mistakes in the HTML documentation.
