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

Screenshot thumbnail
Runnning a Monte Carlo simulation
Screenshot thumbnail
Input file edition
Screenshot thumbnail
Portfolio loss distribution
Screenshot thumbnail
Credit risk analysis
Screenshot thumbnail
Risk disaggregation

Project Admins:

Get latest updates about Open Source Projects, Conferences and News.

Sign up for the SourceForge newsletter:

JavaScript is required for this form.

No, thanks