Projects / CCruncher

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.

Tags
Licenses
Operating Systems
Implementation

Last announcement

2.4 27 Feb 2014 10:54

This release improves the technical document by reorganizing the content and adding a discussion about portfolio optimization. The program adds a header with info in the output files and computes the averaged exposure for each segment. Finally, the parameter 'OnlyActiveObligors' has been removed from the input file.

Recent releases

  •  07 Mar 2014 10:46

    Release Notes: This release embeds fonts in PDF technical documents because some users reported visualization/printing problems.

    •  27 Feb 2014 10:56

      Release Notes: This release improves the technical document by reorganizing the content and adding a discussion about portfolio optimization. The program adds a header with information in the output files and computes the averaged exposure for each segment. The parameter 'OnlyActiveObligors' has been removed from the input file.

      •  10 Sep 2013 10:26

        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.

        •  22 Mar 2013 09:29

          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.

          •  31 Dec 2012 09:42

            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.

            Screenshot

            Project Spotlight

            OpenStack4j

            A Fluent OpenStack client API for Java.

            Screenshot

            Project Spotlight

            TurnKey TWiki Appliance

            A TWiki appliance that is easy to use and lightweight.