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CreditCruncher

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CreditCruncher

http://www.generacio.com/ccruncher/
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.

Documentation

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


Download

Download External-link-icon.png version 0.9 (beta)
released on 11 February 2006

Categories




Licensing

LicenseVerified byVerified onNotes
GPLv2orlaterTed Teah24 March 2006



Leaders and contributors

Contact(s)Role
"Email gerard@mail.generacio.com" Gerard Torrent Maintainer


Resources and communication

Audience Resource type URI
Developer,Help,Support Homepage http://sourceforge.net/mail/?group_id=128910
Bug Tracking Homepage http://sourceforge.net/tracker/?group_id=128910
Developer VCS Repository Webview http://www.generacio.com/svn/repos/ccruncher/trunk/


Software prerequisites

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



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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”.

The copyright and license notices on this page only apply to the text on this page. Any software or copyright-licenses or other similar notices described in this text has its own copyright notice and license, which can usually be found in the distribution or license text itself.


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