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.

Project Samples

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

Project Activity

See All Activity >

Categories

Investment Management, Simulation, Mathematics

License

GNU General Public License version 2.0 (GPLv2)

Follow CCruncher

CCruncher Web Site

Other Useful Business Software
Our Free Plans just got better! | Auth0 Icon
Our Free Plans just got better! | Auth0

With up to 25k MAUs and unlimited Okta connections, our Free Plan lets you focus on what you do best—building great apps.

You asked, we delivered! Auth0 is excited to expand our Free and Paid plans to include more options so you can focus on building, deploying, and scaling applications without having to worry about your security. Auth0 now, thank yourself later.
Try free now
Rate This Project
Login To Rate This Project

User Reviews

Be the first to post a review of CCruncher!

Additional Project Details

Operating Systems

Linux, BSD, Windows

Languages

English

Intended Audience

Financial and Insurance Industry, Science/Research

User Interface

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

Programming Language

C++

Related Categories

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

Registered

2005-01-16
Report inappropriate content