CCruncher is a project for quantifying portfolio credit risk using the copula approach. It is a framework consisting of two elements: a technical document that explains the theory, and a software program that implements it. CCruncher evaluates the portfolio credit risk by sampling the portfolio loss distribution and computing the Expected Loss (EL), Value at Risk (VaR) and Expected Shortfall (ES) statistics. The portfolio losses are obtained simulating the default times of obligors and simulating the EADs and LGDs of their assets.

Project Samples

Runnning a Monte Carlo simulation Input file edition Portfolio loss distribution Credit risk analysis Risk disaggregation

Project Activity

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Categories

Investment Management, Simulation, Mathematics

License

GNU General Public License version 2.0 (GPLv2)

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CCruncher Web Site

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Additional Project Details

Operating Systems

Linux, BSD, Windows

Languages

English

Intended Audience

Financial and Insurance Industry, Science/Research

User Interface

X Window System (X11), Win32 (MS Windows), Command-line, Qt

Programming Language

C++

Related Categories

C++ Investment Management Software, C++ Simulation Software, C++ Mathematics Software

Registered

2005-01-16
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