Showing 1 open source project for "copula"

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    CCruncher

    CCruncher

    Open-Source Project for Credit Risk Modeling

    CCruncher is a project for quantifying portfolio credit risk using the copula approach. It is a framework consisting of two elements: a technical document that explains the theory, and a software program that implements it. CCruncher evaluates the portfolio credit risk by sampling the portfolio loss distribution and computing the Expected Loss (EL), Value at Risk (VaR) and Expected Shortfall (ES) statistics.
    Downloads: 9 This Week
    Last Update:
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