CreditCruncher computes the Value At Risk (VAR) of large credit portfolios using the Monte Carlo method.
CreditCruncher is a command line solver that read an xml input file and returns a plain text file with the simulated values of portfolio. The current version is 0.8. This software is released under the GNU General Public License.
CreditCruncher is designed to work in batch mode, without graphical support. Computation time can be reduced enabling the MPI instructions when compiling and deploying the application in a cluster.
The user create a xml file where the portfolio is described. CreditCruncher take this file and simulate N times the portfolio described in the input file. The simulated values are stored in a file with extension .out. Finally, a R script takes the simulated values and do some statistic over there to generate the risk indicators (VaR, TCE, etc.)
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What's New in This Release:
- Support for stochastic recoveries has been added
- Support for simple and continuous interest rates and considere exposure instead of cashflow events.
- The report has been improved and minor bugs were solved.