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CCruncher

Open-Source Project for Credit Risk Modeling

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Description

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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Additional Project Details

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++

Registered

2005-01-16

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