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Analytic Toolkit

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Description

The purpose of the project is summarising effort from a number of analytic libraries, adding interactive web-based user interface and making a free open source solution for risk analytics and stress testing.
Feb 8, 2012 Paul Glasserman's Importance Sampling and Tail Approximations as well as plain Monte Carlo have been implemented for for the widely used normal copula model of portfolio credit risk. The package includes source code, examples, spreadsheet with results and references to the papers.

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Additional Project Details

Intended Audience

Advanced End Users, Developers, Financial and Insurance Industry, Science/Research

User Interface

Web-based

Programming Language

ASP.NET, C#, C++, JavaScript

Registered

2011-09-13
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