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


Download

src.tgz/download Download version 2.4.1 (stable)
released on 7 March 2014

Categories




Licensing

LicenseVerified byVerified onNotes
License:GPLv2orlaterTed Teah24 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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