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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.

Last updated 24 Mar, 2006


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GPLv2orlater

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0.9

0.9 beta released on 2006-02-11

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http://sourceforge.net/docman/?group_id=128910

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