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.
|Tags||Financial Scientific/Engineering Mathematics|
|Operating Systems||Mac OS X Windows Windows POSIX Linux|
Because the windows package is the most downloaded, has added a simple graphical interface to ccruncher in this package.
Release Notes: This release adds a new technical document, which was rewritten from scratch. Risk disaggregation was added to the risk analysis. Minor changes were made to the input file format.
Release Notes: This release adds support for the Latin Hypercube Sampling method, increases overall program speed by a factor of 2-5, and solves a bug in the aggregation procedure.
Release Notes: This release improves simulation accuracy, makes some minor changes to the input file format, and adds a new graphic interface. This UI allows editing the input files, submitting Monte Carlo simulations, and conducting credit risk analysis.
Release Notes: This release adds support for the multi-factor model, rewrites the documentation from scratch, and makes some minor changes in the input file format.
Release Notes: This release adds support for macros (useful for sensitivity analysis), solves the precision problem in the survival functions, modifies the t-Student CDF speedup algorithm, and updates the technical document.