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.





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


Software prerequisites




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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.