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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.



Download version 0.9 (beta)
released on 11 February 2006



LicenseVerified byVerified onNotes
GPLv2orlaterTed Teah24 March 2006

Leaders and contributors

Gerard Torrent Maintainer

Resources and communication

Audience Resource type URI
Developer VCS Repository Webview
Developer,Help,Support Homepage
Bug Tracking Homepage

Software prerequisites

This entry (in part or in whole) was last reviewed on 24 March 2006.


Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.3 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts. A copy of the license is included in the page “GNU Free Documentation License”.

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