CreditCruncher

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CreditCruncher

https://www.ccruncher.net/
A calculator for the credit risk for large portfolios using Monte Carlo method.

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





Licensing

License

Verified by

Verified on

Notes

Verified by

Ted Teah

Verified on

24 March 2006




Leaders and contributors

Contact(s)Role
Gerard Torrent Maintainer


Resources and communication

AudienceResource typeURI
DeveloperVCS Repository Webviewhttp://www.generacio.com/svn/repos/ccruncher/trunk/
Developer,Help,SupportHomepagehttp://sourceforge.net/mail/?group_id=128910
Bug TrackingHomepagehttp://sourceforge.net/tracker/?group_id=128910


Software prerequisites

This entry (in part or in whole) was last reviewed on 25 February 2017.



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