CreditCruncher computes the Value At Risk (VAR) of large credit portfolios using the Monte Carlo method. Keywords: ratings, transition matrix, survival functions, correlations, copulas, VAR, Expected Shortfall
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Project Admins:
torrentg
Operating System:
All POSIX (Linux/BSD/UNIX-like OSes)
License:
GNU General Public License (GPL)
Category:
Mathematics, Simulations
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Project Details
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Project Admins :
torrentg
- Developers : 1
- Development Status : 5 - Production/Stable
- Intended Audience : Financial and Insurance Industry
- License : GNU General Public License (GPL)
- Operating System : All POSIX (Linux/BSD/UNIX-like OSes)
- Programming Language : C++
- Topic : Mathematics, Simulations
- Translations : English
- User Interface : Command-line
- Project UNIX name : ccruncher
- Registered : 2005-01-16 19:04
- Activity Percentile (last week) : 92.48
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