CreditCruncher 1.7

CreditCruncher computes the Value At Risk (VAR) of large credit portfolios using the Monte Carlo method.
CreditCruncher
  1 Screenshot
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.)

last updated on:
January 18th, 2011, 11:28 GMT
price:
FREE!
developed by:
Gerard Torrent
homepage:
www.ccruncher.net
license type:
GPL (GNU General Public License) 
category:
ROOT \ Science and Engineering \ Mathematics
CreditCruncher
Download Button

In a hurry? Add it to your Download Basket!

user rating 17

2.8/5
 

0/5

Rate it!
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.
read full changelog

Add your review!

SUBMIT