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