CCruncher

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 simulating the EADs and LGDs of their assets.

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License

GNU General Public License version 2.0 (GPLv2)

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Additional Project Details

Operating Systems

BSD, Linux, Windows

Languages

English

Intended Audience

Financial and Insurance Industry, Science/Research

User Interface

Command-line, Qt, Win32 (MS Windows), X Window System (X11)

Programming Language

C++

Related Categories

C++ Investment Management Software, C++ Simulation Software, C++ Mathematics Software

Registered

2005-01-16

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