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...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. The portfolio losses are obtained simulating the default times of obligors and simulating the EADs and LGDs of their assets.
...With a focus on the MILP methods we implement a load balancing and speed up the solving process in a multiplicative way. Sometimes we have super-linear speedup with a small set of hardware. With a splitting of problems, parallel computing and distributing the actual best solution to all running processes we solve CBP much faster than a sequential processing can do.
The project aims at developing J2EE Connector Architecture 1.0 Compilant Resource Adapters for integrating various EIS's like XML files, XML DB, LDAP, FTP, SMTP, POP3, Point Of Sale, Properties File, Office Documents
QuataCore contains the basic tools used in financial engineering. The QuantaCore package is designed to run on a distributed computing cluster or multi-core machine with access to an SQL (MYSQL) server.
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