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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

Download Now! ccruncher-1.4_src.tgz (904.9 KB) OR View all files

http://www.generacio.com/ccruncher/





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Release Date:

2009-07-16

Topics:

Investment, Mathematics, Simulations

License:

GNU General Public License (GPL)

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  • ccruncher 1.4 file released: ccruncher-1.4_win.zip

    * improved technical document * add optional tag 'title' in xml file input * add optional tag 'description' in xml file input * changed from discrete time to continuous time * bugfix: error in t-student copula simulation * MersenneTwister library replaced by GSL library * TNT/Jama library replaced by GSL library * improved R script performance * updated to gcc-4.4.0 * added MPICH support

    posted 115 days ago

  • ccruncher 1.4 file released: ccruncher-1.4_src.tgz

    * improved technical document * add optional tag 'title' in xml file input * add optional tag 'description' in xml file input * changed from discrete time to continuous time * bugfix: error in t-student copula simulation * MersenneTwister library replaced by GSL library * TNT/Jama library replaced by GSL library * improved R script performance * updated to gcc-4.4.0 * added MPICH support

    posted 115 days ago

  • ccruncher 1.4 file released: ccruncher-1.4_bin.tgz

    * improved technical document * add optional tag 'title' in xml file input * add optional tag 'description' in xml file input * changed from discrete time to continuous time * bugfix: error in t-student copula simulation * MersenneTwister library replaced by GSL library * TNT/Jama library replaced by GSL library * improved R script performance * updated to gcc-4.4.0 * added MPICH support

    posted 115 days ago

  • File released: /ccruncher/1.4/ccruncher-1.4_win.zip

    posted 115 days ago

  • File released: /ccruncher/1.4/ccruncher-1.4_bin.tgz

    posted 115 days ago

  • File released: /ccruncher/1.4/ccruncher-1.4_src.tgz

    posted 115 days ago

  • ccruncher 1.4 coming soon

    We are working on version 1.4! The most relevant changes are: - fixed bug in t-student copula generator - documentation improved - changed from discrete time to continous time - added GSL library - MPICH support

    posted by torrentg 127 days ago

  • ccruncher 1.3 file released: ccruncher-1.3_win.zip

    * fixed severe bug in gaussian copula generator * changed output data format * added t-copula generator * risk report beautified

    posted 317 days ago

  • ccruncher 1.3 file released: ccruncher-1.3_src.tgz

    * fixed severe bug in gaussian copula generator * changed output data format * added t-copula generator * risk report beautified

    posted 317 days ago

  • ccruncher 1.3 file released: ccruncher-1.3_bin.tgz

    * fixed severe bug in gaussian copula generator * changed output data format * added t-copula generator * risk report beautified

    posted 317 days ago

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  • Credit risk schema
  • Graphical CCruncher output (using R)

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