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
Release Date:
Topic:
Operating System:
License:
Translations:
Intended Audience:
User Interface:
Programming Language:
Registered:
Ratings and Reviews
- Thumbs up: 0
- Thumbs down: 1
Be the first to post a text review of CreditCruncher. Rate and review a project by clicking thumbs up or thumbs down in the right column.
Project Feed
-
ccruncher 1.5 coming soon
We are working on version 1.5! The most relevant changes are: - added transition matrix regularization - added condition number computation - significant improvements in performance - minor changes i... -
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
-
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
-
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
-
File released: /ccruncher/1.4/ccruncher-1.4_win.zip
-
File released: /ccruncher/1.4/ccruncher-1.4_bin.tgz
-
File released: /ccruncher/1.4/ccruncher-1.4_src.tgz
-
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
-
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
-
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
Rate and Review
Related Projects
-
SEMSIM
SEMSIM is designed for single-electron device (SET) and circuit simulation using the Monte Carlo method. It uses adaptive techniques to significantly improve the time efficiency while maintaining accuracy.
-
Expression Solver
Expression Solver computes the value of a mathematical equation/expression. Works with operators, numbers, variables, and functions. Users can define their own variables and functions. hosted: http://github.com/matcatc/Expression-Solver
-
CreditCruncher Actions
About SourceForge
Develop Software
Community
Copyright © 2010 Geeknet, Inc. All rights reserved. Terms of Use
