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
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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