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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. The portfolio losses are obtained simulating the default times of obligors and...
SYSTEM FOR DESIGNING AND SIMULATE CONCURRENT AND DISTRIBUTED PROGRAMS IN CLUSTER ARCHITECTURE Provides graphical interface for configuring relationships between cooperating, abstract processes and simulate it in real cluster environment, using MPI.