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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.
released on 11 February 2006
|License||Verified by||Verified on||Notes|
|GPLv2orlater||Ted Teah||24 March 2006|
Leaders and contributors
Resources and communication
|Developer||VCS Repository Webview||http://www.generacio.com/svn/repos/ccruncher/trunk/|
This entry (in part or in whole) was last reviewed on 24 March 2006.