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    CCruncher

    CCruncher

    Open-Source Project for Credit Risk Modeling

    ...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.
    Downloads: 79 This Week
    Last Update:
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